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103 lines
2.9 KiB
Go
103 lines
2.9 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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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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}
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return s
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}
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func TestGenerateMakerOrder(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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budget := Number("105000")
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askPrice := Number("30000")
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margin := Number("0.05")
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submitOrders, err := strategy.generateMakerOrder(false, budget, askPrice, margin, 4)
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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(submitOrders[0].Price, Number("28500"))
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assert.Equal(submitOrders[1].Price, Number("27000"))
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assert.Equal(submitOrders[2].Price, Number("25500"))
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assert.Equal(submitOrders[3].Price, Number("24000"))
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assert.Equal(submitOrders[0].Quantity, Number("1"))
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assert.Equal(submitOrders[1].Quantity, Number("1"))
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assert.Equal(submitOrders[2].Quantity, Number("1"))
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assert.Equal(submitOrders[3].Quantity, Number("1"))
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})
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t.Run("case 2: some orders' price will below 0 and we should not create such order", func(t *testing.T) {
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budget := Number("100000")
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askPrice := Number("30000")
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margin := Number("0.2")
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submitOrders, err := strategy.generateMakerOrder(false, budget, askPrice, margin, 5)
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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(submitOrders[0].Price, Number("24000"))
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assert.Equal(submitOrders[1].Price, Number("18000"))
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assert.Equal(submitOrders[2].Price, Number("12000"))
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assert.Equal(submitOrders[3].Price, Number("6000"))
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assert.Equal(submitOrders[0].Quantity, Number("1.666666"))
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assert.Equal(submitOrders[1].Quantity, Number("1.666666"))
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assert.Equal(submitOrders[2].Quantity, Number("1.666666"))
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assert.Equal(submitOrders[3].Quantity, Number("1.666666"))
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})
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t.Run("case 3: some orders' notional is too small and we should not create such order", func(t *testing.T) {
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budget := Number("30")
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askPrice := Number("30000")
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margin := Number("0.2")
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submitOrders, err := strategy.generateMakerOrder(false, budget, askPrice, margin, 5)
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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(submitOrders[0].Price, Number("24000"))
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assert.Equal(submitOrders[1].Price, Number("18000"))
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assert.Equal(submitOrders[0].Quantity, Number("0.000714"))
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assert.Equal(submitOrders[1].Quantity, Number("0.000714"))
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})
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}
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