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103 lines
3.0 KiB
Go
103 lines
3.0 KiB
Go
package bbgo
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import (
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"testing"
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"github.com/golang/mock/gomock"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/types/mocks"
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)
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// getTestMarket returns the BTCUSDT market information
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// for tests, we always use BTCUSDT
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func getTestMarket() types.Market {
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market := types.Market{
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Symbol: "BTCUSDT",
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PricePrecision: 8,
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VolumePrecision: 8,
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QuoteCurrency: "USDT",
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BaseCurrency: "BTC",
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MinNotional: fixedpoint.MustNewFromString("0.001"),
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MinAmount: fixedpoint.MustNewFromString("10.0"),
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MinQuantity: fixedpoint.MustNewFromString("0.001"),
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}
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return market
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}
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func TestTrailingStop(t *testing.T) {
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market := getTestMarket()
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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mockEx := mocks.NewMockExchange(mockCtrl)
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mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
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mockEx.EXPECT().SubmitOrders(gomock.Any(), types.SubmitOrder{
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Symbol: "BTCUSDT",
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Market: market,
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Quantity: fixedpoint.NewFromFloat(1.0),
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Tag: "trailingStop",
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})
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session := NewExchangeSession("test", mockEx)
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assert.NotNil(t, session)
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session.markets[market.Symbol] = market
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position := types.NewPositionFromMarket(market)
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position.AverageCost = fixedpoint.NewFromFloat(20000.0)
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position.Base = fixedpoint.NewFromFloat(-1.0)
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orderExecutor := NewGeneralOrderExecutor(session, "BTCUSDT", "test", "test-01", position)
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activationRatio := fixedpoint.NewFromFloat(0.01)
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callbackRatio := fixedpoint.NewFromFloat(0.01)
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stop := &TrailingStop2{
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Symbol: "BTCUSDT",
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Interval: types.Interval1m,
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Side: types.SideTypeBuy,
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CallbackRate: callbackRatio,
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ActivationRatio: activationRatio,
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}
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stop.Bind(session, orderExecutor)
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// the same price
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currentPrice := fixedpoint.NewFromFloat(20000.0)
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err := stop.checkStopPrice(currentPrice, position)
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if assert.NoError(t, err) {
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assert.False(t, stop.activated)
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}
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// 20000 - 1% = 19800
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currentPrice = currentPrice.Mul(one.Sub(activationRatio))
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err = stop.checkStopPrice(currentPrice, position)
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if assert.NoError(t, err) {
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assert.True(t, stop.activated)
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assert.Equal(t, fixedpoint.NewFromFloat(19800.0), currentPrice)
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assert.Equal(t, fixedpoint.NewFromFloat(19800.0), stop.latestHigh)
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}
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// 19800 - 1% = 19602
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currentPrice = currentPrice.Mul(one.Sub(callbackRatio))
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err = stop.checkStopPrice(currentPrice, position)
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if assert.NoError(t, err) {
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assert.Equal(t, fixedpoint.NewFromFloat(19602.0), currentPrice)
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assert.Equal(t, fixedpoint.NewFromFloat(19602.0), stop.latestHigh)
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assert.True(t, stop.activated)
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}
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// 19602 + 1% = 19798.02
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currentPrice = currentPrice.Mul(one.Add(callbackRatio))
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err = stop.checkStopPrice(currentPrice, position)
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if assert.NoError(t, err) {
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assert.Equal(t, fixedpoint.NewFromFloat(19798.02), currentPrice)
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assert.Equal(t, fixedpoint.Zero, stop.latestHigh)
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assert.False(t, stop.activated)
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}
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}
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