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54 lines
1.2 KiB
Go
54 lines
1.2 KiB
Go
package xmaker
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import (
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"context"
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"testing"
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"time"
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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/testing/testhelper"
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)
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var tradeId = 0
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func Trade(symbol string, side types.SideType, price, quantity fixedpoint.Value, t time.Time) types.Trade {
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tradeId++
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return types.Trade{
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ID: uint64(tradeId),
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Symbol: symbol,
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Side: side,
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Price: price,
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IsBuyer: side == types.SideTypeBuy,
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Quantity: quantity,
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Time: types.Time(t),
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}
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}
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func TestMarketTradeWindowSignal(t *testing.T) {
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now := time.Now()
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symbol := "BTCUSDT"
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sig := &TradeVolumeWindowSignal{
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symbol: symbol,
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Threshold: fixedpoint.NewFromFloat(0.65),
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Window: types.Duration(time.Minute),
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}
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sig.trades = []types.Trade{
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Trade(symbol, types.SideTypeBuy, Number(18000.0), Number(1.0), now.Add(-2*time.Minute)),
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Trade(symbol, types.SideTypeSell, Number(18000.0), Number(0.5), now.Add(-2*time.Second)),
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Trade(symbol, types.SideTypeBuy, Number(18000.0), Number(1.0), now.Add(-1*time.Second)),
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}
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ctx := context.Background()
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sigNum, err := sig.CalculateSignal(ctx)
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if assert.NoError(t, err) {
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assert.InDelta(t, 1.3333333, sigNum, 0.0001)
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}
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assert.Len(t, sig.trades, 2)
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}
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