bbgo_origin/pkg/bbgo/exit_trailing_stop_test.go

185 lines
5.5 KiB
Go

package bbgo
import (
"testing"
"github.com/stretchr/testify/assert"
"go.uber.org/mock/gomock"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/types/mocks"
)
// getTestMarket returns the BTCUSDT market information
// for tests, we always use BTCUSDT
func getTestMarket() types.Market {
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"),
}
return market
}
func TestTrailingStop_ShortPosition(t *testing.T) {
market := getTestMarket()
mockCtrl := gomock.NewController(t)
defer mockCtrl.Finish()
mockEx := mocks.NewMockExchange(mockCtrl)
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().SubmitOrder(gomock.Any(), types.SubmitOrder{
Symbol: "BTCUSDT",
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
Market: market,
Quantity: fixedpoint.NewFromFloat(1.0),
Tag: "trailingStop:activation=1%,callback=1%",
MarginSideEffect: types.SideEffectTypeAutoRepay,
})
session := NewExchangeSession("test", mockEx)
assert.NotNil(t, session)
session.markets[market.Symbol] = market
position := types.NewPositionFromMarket(market)
position.AverageCost = fixedpoint.NewFromFloat(20000.0)
position.Base = fixedpoint.NewFromFloat(-1.0)
orderExecutor := NewGeneralOrderExecutor(session, "BTCUSDT", "test", "test-01", position)
activationRatio := fixedpoint.NewFromFloat(0.01)
callbackRatio := fixedpoint.NewFromFloat(0.01)
stop := &TrailingStop2{
Symbol: "BTCUSDT",
Interval: types.Interval1m,
Side: types.SideTypeBuy,
CallbackRate: callbackRatio,
ActivationRatio: activationRatio,
}
stop.Bind(session, orderExecutor)
// the same price
currentPrice := fixedpoint.NewFromFloat(20000.0)
err := stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.False(t, stop.activated)
}
// 20000 - 1% = 19800
currentPrice = currentPrice.Mul(one.Sub(activationRatio))
assert.Equal(t, fixedpoint.NewFromFloat(19800.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.True(t, stop.activated)
assert.Equal(t, fixedpoint.NewFromFloat(19800.0), stop.latestHigh)
}
// 19800 - 1% = 19602
currentPrice = currentPrice.Mul(one.Sub(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(19602.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.NewFromFloat(19602.0), stop.latestHigh)
assert.True(t, stop.activated)
}
// 19602 + 1% = 19798.02
currentPrice = currentPrice.Mul(one.Add(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(19798.02), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.Zero, stop.latestHigh)
assert.False(t, stop.activated)
}
}
func TestTrailingStop_LongPosition(t *testing.T) {
market := getTestMarket()
mockCtrl := gomock.NewController(t)
defer mockCtrl.Finish()
mockEx := mocks.NewMockExchange(mockCtrl)
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().SubmitOrder(gomock.Any(), types.SubmitOrder{
Symbol: "BTCUSDT",
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Market: market,
Quantity: fixedpoint.NewFromFloat(1.0),
Tag: "trailingStop:activation=1%,callback=1%",
MarginSideEffect: types.SideEffectTypeAutoRepay,
})
session := NewExchangeSession("test", mockEx)
assert.NotNil(t, session)
session.markets[market.Symbol] = market
position := types.NewPositionFromMarket(market)
position.AverageCost = fixedpoint.NewFromFloat(20000.0)
position.Base = fixedpoint.NewFromFloat(1.0)
orderExecutor := NewGeneralOrderExecutor(session, "BTCUSDT", "test", "test-01", position)
activationRatio := fixedpoint.NewFromFloat(0.01)
callbackRatio := fixedpoint.NewFromFloat(0.01)
stop := &TrailingStop2{
Symbol: "BTCUSDT",
Interval: types.Interval1m,
Side: types.SideTypeSell,
CallbackRate: callbackRatio,
ActivationRatio: activationRatio,
}
stop.Bind(session, orderExecutor)
// the same price
currentPrice := fixedpoint.NewFromFloat(20000.0)
err := stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.False(t, stop.activated)
}
// 20000 + 1% = 20200
currentPrice = currentPrice.Mul(one.Add(activationRatio))
assert.Equal(t, fixedpoint.NewFromFloat(20200.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.True(t, stop.activated)
assert.Equal(t, fixedpoint.NewFromFloat(20200.0), stop.latestHigh)
}
// 20200 + 1% = 20402
currentPrice = currentPrice.Mul(one.Add(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(20402.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.NewFromFloat(20402.0), stop.latestHigh)
assert.True(t, stop.activated)
}
// 20402 - 1%
currentPrice = currentPrice.Mul(one.Sub(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(20197.98), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.Zero, stop.latestHigh)
assert.False(t, stop.activated)
}
}