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96 lines
2.7 KiB
Go
96 lines
2.7 KiB
Go
package dca2
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import (
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"testing"
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"github.com/sirupsen/logrus"
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. "github.com/c9s/bbgo/pkg/testing/testhelper"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/stretchr/testify/assert"
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)
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func newTestMarket() types.Market {
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return types.Market{
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Symbol: "BTCUSDT",
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BaseCurrency: "BTC",
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QuoteCurrency: "USDT",
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TickSize: Number(0.01),
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StepSize: Number(0.000001),
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PricePrecision: 2,
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VolumePrecision: 8,
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MinNotional: Number(8.0),
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MinQuantity: Number(0.0003),
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}
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}
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func newTestStrategy(va ...string) *Strategy {
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symbol := "BTCUSDT"
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if len(va) > 0 {
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symbol = va[0]
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}
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market := newTestMarket()
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s := &Strategy{
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logger: logrus.NewEntry(logrus.New()),
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Symbol: symbol,
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Market: market,
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TakeProfitRatio: Number("10%"),
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}
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return s
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}
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func TestGenerateOpenPositionOrders(t *testing.T) {
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assert := assert.New(t)
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strategy := newTestStrategy()
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t.Run("case 1: all config is valid and we can place enough orders", func(t *testing.T) {
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quoteInvestment := Number("10500")
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profit := Number("300")
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askPrice := Number("30000")
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margin := Number("0.05")
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submitOrders, err := generateOpenPositionOrders(strategy.Market, quoteInvestment, profit, askPrice, margin, 4, strategy.OrderGroupID)
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if !assert.NoError(err) {
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return
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}
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assert.Len(submitOrders, 4)
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assert.Equal(Number("30000"), submitOrders[0].Price)
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assert.Equal(Number("0.0975"), submitOrders[0].Quantity)
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assert.Equal(Number("28500"), submitOrders[1].Price)
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assert.Equal(Number("0.092105"), submitOrders[1].Quantity)
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assert.Equal(Number("27075"), submitOrders[2].Price)
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assert.Equal(Number("0.096952"), submitOrders[2].Quantity)
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assert.Equal(Number("25721.25"), submitOrders[3].Price)
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assert.Equal(Number("0.102055"), submitOrders[3].Quantity)
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})
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t.Run("case 2: profit need to be truncated to avoid precision problem", func(t *testing.T) {
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quoteInvestment := Number("1000")
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profit := Number("99.47871711")
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askPrice := Number("40409.72")
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margin := Number("0.1")
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submitOrders, err := generateOpenPositionOrders(strategy.Market, quoteInvestment, profit, askPrice, margin, 2, strategy.OrderGroupID)
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if !assert.NoError(err) {
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return
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}
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assert.Len(submitOrders, 2)
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assert.Equal(Number("40409.72"), submitOrders[0].Price)
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assert.Equal(Number("0.014834"), submitOrders[0].Quantity)
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assert.Equal(Number("36368.74"), submitOrders[1].Price)
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assert.Equal(Number("0.013748"), submitOrders[1].Quantity)
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})
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t.Run("case 3: some orders' price will below 0, so we should not create such order", func(t *testing.T) {
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})
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t.Run("case 4: notional is too small, so we should decrease num of orders", func(t *testing.T) {
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})
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t.Run("case 5: quantity is too small, so we should decrease num of orders", func(t *testing.T) {
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})
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}
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