bbgo_origin/pkg/strategy/liquiditymaker/generator_test.go
2023-11-09 11:56:07 +08:00

115 lines
4.8 KiB
Go

//go:build !dnum
package liquiditymaker
import (
"testing"
"github.com/stretchr/testify/assert"
"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"
)
func newTestMarket() types.Market {
return types.Market{
BaseCurrency: "XML",
QuoteCurrency: "USDT",
TickSize: Number(0.0001),
StepSize: Number(0.01),
PricePrecision: 4,
VolumePrecision: 8,
MinNotional: Number(8.0),
MinQuantity: Number(40.0),
}
}
func TestLiquidityOrderGenerator(t *testing.T) {
g := &LiquidityOrderGenerator{
Symbol: "XMLUSDT",
Market: newTestMarket(),
}
scale := &bbgo.ExponentialScale{
Domain: [2]float64{1.0, 30.0},
Range: [2]float64{1.0, 4.0},
}
err := scale.Solve()
assert.NoError(t, err)
assert.InDelta(t, 1.0, scale.Call(1.0), 0.00001)
assert.InDelta(t, 4.0, scale.Call(30.0), 0.00001)
totalAmount := Number(20_000.0)
t.Run("ask orders", func(t *testing.T) {
orders := g.Generate(types.SideTypeSell, totalAmount, Number(2.0), Number(2.04), 30, scale)
assert.Len(t, orders, 30)
totalQuoteQuantity := fixedpoint.NewFromInt(0)
for _, o := range orders {
totalQuoteQuantity = totalQuoteQuantity.Add(o.Quantity.Mul(o.Price))
}
assert.InDelta(t, totalAmount.Float64(), totalQuoteQuantity.Float64(), 1.0)
AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
{Side: types.SideTypeSell, Price: Number("2.0000"), Quantity: Number("151.34")},
{Side: types.SideTypeSell, Price: Number("2.0013"), Quantity: Number("158.75")},
{Side: types.SideTypeSell, Price: Number("2.0027"), Quantity: Number("166.52")},
{Side: types.SideTypeSell, Price: Number("2.0041"), Quantity: Number("174.67")},
{Side: types.SideTypeSell, Price: Number("2.0055"), Quantity: Number("183.23")},
{Side: types.SideTypeSell, Price: Number("2.0068"), Quantity: Number("192.20")},
{Side: types.SideTypeSell, Price: Number("2.0082"), Quantity: Number("201.61")},
{Side: types.SideTypeSell, Price: Number("2.0096"), Quantity: Number("211.48")},
{Side: types.SideTypeSell, Price: Number("2.0110"), Quantity: Number("221.84")},
{Side: types.SideTypeSell, Price: Number("2.0124"), Quantity: Number("232.70")},
{Side: types.SideTypeSell, Price: Number("2.0137"), Quantity: Number("244.09")},
{Side: types.SideTypeSell, Price: Number("2.0151"), Quantity: Number("256.04")},
{Side: types.SideTypeSell, Price: Number("2.0165"), Quantity: Number("268.58")},
{Side: types.SideTypeSell, Price: Number("2.0179"), Quantity: Number("281.73")},
{Side: types.SideTypeSell, Price: Number("2.0193"), Quantity: Number("295.53")},
}, orders[0:15])
AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
{Side: types.SideTypeSell, Price: Number("2.0386"), Quantity: Number("577.10")},
{Side: types.SideTypeSell, Price: Number("2.0399"), Quantity: Number("605.36")},
}, orders[28:30])
})
t.Run("bid orders", func(t *testing.T) {
orders := g.Generate(types.SideTypeBuy, totalAmount, Number(2.0), Number(1.96), 30, scale)
assert.Len(t, orders, 30)
totalQuoteQuantity := fixedpoint.NewFromInt(0)
for _, o := range orders {
totalQuoteQuantity = totalQuoteQuantity.Add(o.Quantity.Mul(o.Price))
}
assert.InDelta(t, totalAmount.Float64(), totalQuoteQuantity.Float64(), 1.0)
AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
{Side: types.SideTypeBuy, Price: Number("2.0000"), Quantity: Number("155.13")},
{Side: types.SideTypeBuy, Price: Number("1.9986"), Quantity: Number("162.73")},
{Side: types.SideTypeBuy, Price: Number("1.9972"), Quantity: Number("170.70")},
{Side: types.SideTypeBuy, Price: Number("1.9958"), Quantity: Number("179.05")},
{Side: types.SideTypeBuy, Price: Number("1.9944"), Quantity: Number("187.82")},
{Side: types.SideTypeBuy, Price: Number("1.9931"), Quantity: Number("197.02")},
{Side: types.SideTypeBuy, Price: Number("1.9917"), Quantity: Number("206.67")},
{Side: types.SideTypeBuy, Price: Number("1.9903"), Quantity: Number("216.79")},
{Side: types.SideTypeBuy, Price: Number("1.9889"), Quantity: Number("227.40")},
{Side: types.SideTypeBuy, Price: Number("1.9875"), Quantity: Number("238.54")},
{Side: types.SideTypeBuy, Price: Number("1.9862"), Quantity: Number("250.22")},
{Side: types.SideTypeBuy, Price: Number("1.9848"), Quantity: Number("262.47")},
{Side: types.SideTypeBuy, Price: Number("1.9834"), Quantity: Number("275.32")},
{Side: types.SideTypeBuy, Price: Number("1.9820"), Quantity: Number("288.80")},
{Side: types.SideTypeBuy, Price: Number("1.9806"), Quantity: Number("302.94")},
}, orders[0:15])
AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
{Side: types.SideTypeBuy, Price: Number("1.9613"), Quantity: Number("591.58")},
{Side: types.SideTypeBuy, Price: Number("1.9600"), Quantity: Number("620.54")},
}, orders[28:30])
})
}