bbgo_origin/pkg/strategy/fixedmaker/inventory_skew_test.go
2023-12-21 16:39:23 +08:00

70 lines
2.1 KiB
Go

package fixedmaker
import (
"testing"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/stretchr/testify/assert"
)
func Test_InventorySkew_CalculateBidAskRatios(t *testing.T) {
cases := []struct {
quantity fixedpoint.Value
price fixedpoint.Value
baseBalance fixedpoint.Value
quoteBalance fixedpoint.Value
want *InventorySkewBidAskRatios
}{
{
quantity: fixedpoint.NewFromFloat(1.0),
price: fixedpoint.NewFromFloat(1000),
baseBalance: fixedpoint.NewFromFloat(1.0),
quoteBalance: fixedpoint.NewFromFloat(1000),
want: &InventorySkewBidAskRatios{
BidRatio: fixedpoint.NewFromFloat(1.0),
AskRatio: fixedpoint.NewFromFloat(1.0),
},
},
{
quantity: fixedpoint.NewFromFloat(1.0),
price: fixedpoint.NewFromFloat(1000),
baseBalance: fixedpoint.NewFromFloat(1.0),
quoteBalance: fixedpoint.NewFromFloat(1200),
want: &InventorySkewBidAskRatios{
BidRatio: fixedpoint.NewFromFloat(1.5),
AskRatio: fixedpoint.NewFromFloat(0.5),
},
},
{
quantity: fixedpoint.NewFromFloat(1.0),
price: fixedpoint.NewFromFloat(1000),
baseBalance: fixedpoint.NewFromFloat(0.0),
quoteBalance: fixedpoint.NewFromFloat(10000),
want: &InventorySkewBidAskRatios{
BidRatio: fixedpoint.NewFromFloat(2.0),
AskRatio: fixedpoint.NewFromFloat(0.0),
},
},
{
quantity: fixedpoint.NewFromFloat(1.0),
price: fixedpoint.NewFromFloat(1000),
baseBalance: fixedpoint.NewFromFloat(2.0),
quoteBalance: fixedpoint.NewFromFloat(0.0),
want: &InventorySkewBidAskRatios{
BidRatio: fixedpoint.NewFromFloat(0.0),
AskRatio: fixedpoint.NewFromFloat(2.0),
},
},
}
for _, c := range cases {
s := &InventorySkew{
InventoryRangeMultiplier: fixedpoint.NewFromFloat(0.1),
TargetBaseRatio: fixedpoint.NewFromFloat(0.5),
}
got := s.CalculateBidAskRatios(c.quantity, c.price, c.baseBalance, c.quoteBalance)
assert.Equal(t, c.want.BidRatio.Float64(), got.BidRatio.Float64())
assert.Equal(t, c.want.AskRatio.Float64(), got.AskRatio.Float64())
}
}