//go:build !dnum package xdepthmaker import ( "testing" "time" "github.com/stretchr/testify/assert" "github.com/c9s/bbgo/pkg/bbgo" . "github.com/c9s/bbgo/pkg/testing/testhelper" "github.com/c9s/bbgo/pkg/types" ) func newTestBTCUSDTMarket() types.Market { return types.Market{ BaseCurrency: "BTC", QuoteCurrency: "USDT", TickSize: Number(0.01), StepSize: Number(0.000001), PricePrecision: 2, VolumePrecision: 8, MinNotional: Number(8.0), MinQuantity: Number(0.0003), } } func TestStrategy_generateMakerOrders(t *testing.T) { s := &Strategy{ Symbol: "BTCUSDT", NumLayers: 3, DepthScale: &bbgo.LayerScale{ LayerRule: &bbgo.SlideRule{ LinearScale: &bbgo.LinearScale{ Domain: [2]float64{1.0, 3.0}, Range: [2]float64{1000.0, 15000.0}, }, }, }, CrossExchangeMarketMakingStrategy: &CrossExchangeMarketMakingStrategy{ makerMarket: newTestBTCUSDTMarket(), }, } pricingBook := types.NewStreamBook("BTCUSDT") pricingBook.OrderBook.Load(types.SliceOrderBook{ Symbol: "BTCUSDT", Bids: types.PriceVolumeSlice{ {Price: Number("25000.00"), Volume: Number("0.1")}, {Price: Number("24900.00"), Volume: Number("0.2")}, {Price: Number("24800.00"), Volume: Number("0.3")}, {Price: Number("24700.00"), Volume: Number("0.4")}, }, Asks: types.PriceVolumeSlice{ {Price: Number("25100.00"), Volume: Number("0.1")}, {Price: Number("25200.00"), Volume: Number("0.2")}, {Price: Number("25300.00"), Volume: Number("0.3")}, {Price: Number("25400.00"), Volume: Number("0.4")}, }, Time: time.Now(), }) orders, err := s.generateMakerOrders(pricingBook, 0) assert.NoError(t, err) AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{ {Side: types.SideTypeBuy, Price: Number("25000"), Quantity: Number("0.04")}, // =~ $1000.00 {Side: types.SideTypeBuy, Price: Number("24866.66"), Quantity: Number("0.281715")}, // =~ $7005.3111219, accumulated amount =~ $1000.00 + $7005.3111219 = $8005.3111219 {Side: types.SideTypeBuy, Price: Number("24800"), Quantity: Number("0.283123")}, // =~ $7021.4504, accumulated amount =~ $1000.00 + $7005.3111219 + $7021.4504 = $8005.3111219 + $7021.4504 =~ $15026.7615219 {Side: types.SideTypeSell, Price: Number("25100"), Quantity: Number("0.03984")}, {Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.2772")}, {Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.277411")}, }, orders) }