package backtest import ( "testing" "time" "github.com/stretchr/testify/assert" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) func newLimitOrder(symbol string, side types.SideType, price, quantity float64) types.SubmitOrder { return types.SubmitOrder{ Symbol: symbol, Side: side, Type: types.OrderTypeLimit, Quantity: fixedpoint.NewFromFloat(quantity), Price: fixedpoint.NewFromFloat(price), TimeInForce: types.TimeInForceGTC, } } func TestSimplePriceMatching_processKLine(t *testing.T) { account := &types.Account{ MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01), TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01), } account.UpdateBalances(types.BalanceMap{ "USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(10000.0)}, }) market := types.Market{ Symbol: "BTCUSDT", PricePrecision: 8, VolumePrecision: 8, QuoteCurrency: "USDT", BaseCurrency: "BTC", MinNotional: fixedpoint.MustNewFromString("0.001"), MinAmount: fixedpoint.MustNewFromString("10.0"), MinQuantity: fixedpoint.MustNewFromString("0.001"), } t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC) engine := &SimplePriceMatching{ Account: account, Market: market, CurrentTime: t1, } for i := 0; i <= 5; i++ { var p = 20000.0 + float64(i)*1000.0 _, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, p, 0.001)) assert.NoError(t, err) } t2 := t1.Add(time.Minute) // should match 25000, 24000 k := newKLine("BTCUSDT", types.Interval1m, t2, 26000, 27000, 23000, 25000) assert.Equal(t, t2.Add(time.Minute-time.Millisecond), k.EndTime.Time()) engine.processKLine(k) assert.Equal(t, 3, len(engine.bidOrders)) assert.Len(t, engine.bidOrders, 3) assert.Equal(t, 3, len(engine.closedOrders)) for _, o := range engine.closedOrders { assert.Equal(t, k.EndTime.Time(), o.UpdateTime.Time()) } } func newKLine(symbol string, interval types.Interval, startTime time.Time, o, h, l, c float64) types.KLine { return types.KLine{ Symbol: symbol, StartTime: types.Time(startTime), EndTime: types.Time(startTime.Add(interval.Duration() - time.Millisecond)), Interval: interval, Open: fixedpoint.NewFromFloat(o), High: fixedpoint.NewFromFloat(h), Low: fixedpoint.NewFromFloat(l), Close: fixedpoint.NewFromFloat(c), Closed: true, } } func TestSimplePriceMatching_PlaceLimitOrder(t *testing.T) { account := &types.Account{ MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01), TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01), } account.UpdateBalances(types.BalanceMap{ "USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(1000000.0)}, "BTC": {Currency: "BTC", Available: fixedpoint.NewFromFloat(100.0)}, }) market := types.Market{ Symbol: "BTCUSDT", PricePrecision: 8, VolumePrecision: 8, QuoteCurrency: "USDT", BaseCurrency: "BTC", MinNotional: fixedpoint.MustNewFromString("0.001"), MinAmount: fixedpoint.MustNewFromString("10.0"), MinQuantity: fixedpoint.MustNewFromString("0.001"), } engine := &SimplePriceMatching{ Account: account, Market: market, } for i := 0; i < 5; i++ { _, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 8000.0-float64(i), 1.0)) assert.NoError(t, err) } assert.Len(t, engine.bidOrders, 5) assert.Len(t, engine.askOrders, 0) for i := 0; i < 5; i++ { _, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeSell, 9000.0+float64(i), 1.0)) assert.NoError(t, err) } assert.Len(t, engine.bidOrders, 5) assert.Len(t, engine.askOrders, 5) closedOrders, trades := engine.SellToPrice(fixedpoint.NewFromFloat(8100.0)) assert.Len(t, closedOrders, 0) assert.Len(t, trades, 0) closedOrders, trades = engine.SellToPrice(fixedpoint.NewFromFloat(8000.0)) assert.Len(t, closedOrders, 1) assert.Len(t, trades, 1) for _, trade := range trades { assert.True(t, trade.IsBuyer) } for _, o := range closedOrders { assert.Equal(t, types.SideTypeBuy, o.Side) } closedOrders, trades = engine.SellToPrice(fixedpoint.NewFromFloat(7000.0)) assert.Len(t, closedOrders, 4) assert.Len(t, trades, 4) closedOrders, trades = engine.BuyToPrice(fixedpoint.NewFromFloat(8900.0)) assert.Len(t, closedOrders, 0) assert.Len(t, trades, 0) closedOrders, trades = engine.BuyToPrice(fixedpoint.NewFromFloat(9000.0)) assert.Len(t, closedOrders, 1) assert.Len(t, trades, 1) for _, o := range closedOrders { assert.Equal(t, types.SideTypeSell, o.Side) } for _, trade := range trades { assert.Equal(t, types.SideTypeSell, trade.Side) } closedOrders, trades = engine.BuyToPrice(fixedpoint.NewFromFloat(9500.0)) assert.Len(t, closedOrders, 4) assert.Len(t, trades, 4) }