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524 lines
18 KiB
Go
524 lines
18 KiB
Go
package backtest
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import (
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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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)
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func newLimitOrder(symbol string, side types.SideType, price, quantity float64) types.SubmitOrder {
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return types.SubmitOrder{
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Symbol: symbol,
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Side: side,
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Type: types.OrderTypeLimit,
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Quantity: fixedpoint.NewFromFloat(quantity),
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Price: fixedpoint.NewFromFloat(price),
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TimeInForce: types.TimeInForceGTC,
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}
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}
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func TestSimplePriceMatching_orderUpdate(t *testing.T) {
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account := &types.Account{
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MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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}
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account.UpdateBalances(types.BalanceMap{
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"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(10000.0)},
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})
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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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t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
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engine := &SimplePriceMatching{
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Account: account,
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Market: market,
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CurrentTime: t1,
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closedOrders: make(map[uint64]types.Order),
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LastPrice: fixedpoint.NewFromFloat(25000),
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}
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orderUpdateCnt := 0
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orderUpdateNewStatusCnt := 0
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orderUpdateFilledStatusCnt := 0
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var lastOrder types.Order
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engine.OnOrderUpdate(func(order types.Order) {
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lastOrder = order
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orderUpdateCnt++
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switch order.Status {
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case types.OrderStatusNew:
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orderUpdateNewStatusCnt++
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case types.OrderStatusFilled:
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orderUpdateFilledStatusCnt++
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}
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})
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// maker order
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_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 24000.0, 0.1))
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assert.NoError(t, err)
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assert.Equal(t, 1, orderUpdateCnt) // should get new status
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assert.Equal(t, 1, orderUpdateNewStatusCnt) // should get new status
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assert.Equal(t, 0, orderUpdateFilledStatusCnt) // should get new status
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assert.Equal(t, types.OrderStatusNew, lastOrder.Status)
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assert.Equal(t, fixedpoint.NewFromFloat(0.0), lastOrder.ExecutedQuantity)
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t2 := t1.Add(time.Minute)
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// should match 25000, 24000
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k := newKLine("BTCUSDT", types.Interval1m, t2, 26000, 27000, 23000, 25000)
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engine.processKLine(k)
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assert.Equal(t, 2, orderUpdateCnt) // should got new and filled
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assert.Equal(t, 1, orderUpdateNewStatusCnt) // should got new status
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assert.Equal(t, 1, orderUpdateFilledStatusCnt) // should got new status
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assert.Equal(t, types.OrderStatusFilled, lastOrder.Status)
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assert.Equal(t, "0.1", lastOrder.ExecutedQuantity.String())
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assert.Equal(t, lastOrder.Quantity.String(), lastOrder.ExecutedQuantity.String())
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}
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func TestSimplePriceMatching_CancelOrder(t *testing.T) {
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account := getTestAccount()
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market := getTestMarket()
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t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
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engine := &SimplePriceMatching{
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Account: account,
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Market: market,
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CurrentTime: t1,
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closedOrders: make(map[uint64]types.Order),
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LastPrice: fixedpoint.NewFromFloat(30000.0),
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}
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createdOrder1, trade1, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 20000.0, 0.1))
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assert.NoError(t, err)
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assert.Nil(t, trade1)
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assert.Len(t, engine.bidOrders, 1)
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assert.Len(t, engine.askOrders, 0)
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createdOrder2, trade2, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeSell, 40000.0, 0.1))
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assert.NoError(t, err)
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assert.Nil(t, trade2)
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assert.Len(t, engine.bidOrders, 1)
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assert.Len(t, engine.askOrders, 1)
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if assert.NotNil(t, createdOrder1) {
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retOrder, err := engine.CancelOrder(*createdOrder1)
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assert.NoError(t, err)
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assert.NotNil(t, retOrder)
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assert.Len(t, engine.bidOrders, 0)
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assert.Len(t, engine.askOrders, 1)
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}
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if assert.NotNil(t, createdOrder2) {
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retOrder, err := engine.CancelOrder(*createdOrder2)
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assert.NoError(t, err)
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assert.NotNil(t, retOrder)
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assert.Len(t, engine.bidOrders, 0)
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assert.Len(t, engine.askOrders, 0)
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}
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}
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func TestSimplePriceMatching_processKLine(t *testing.T) {
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account := getTestAccount()
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market := getTestMarket()
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t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
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engine := &SimplePriceMatching{
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Account: account,
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Market: market,
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CurrentTime: t1,
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closedOrders: make(map[uint64]types.Order),
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LastPrice: fixedpoint.NewFromFloat(30000.0),
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}
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for i := 0; i <= 5; i++ {
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var p = 20000.0 + float64(i)*1000.0
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_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, p, 0.001))
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assert.NoError(t, err)
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}
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t2 := t1.Add(time.Minute)
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// should match 25000, 24000
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k := newKLine("BTCUSDT", types.Interval1m, t2, 30000, 27000, 23000, 25000)
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assert.Equal(t, t2.Add(time.Minute-time.Millisecond), k.EndTime.Time())
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engine.processKLine(k)
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assert.Equal(t, 3, len(engine.bidOrders))
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assert.Len(t, engine.bidOrders, 3)
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assert.Equal(t, 3, len(engine.closedOrders))
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for _, o := range engine.closedOrders {
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assert.Equal(t, k.EndTime.Time(), o.UpdateTime.Time())
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}
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}
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func newKLine(symbol string, interval types.Interval, startTime time.Time, o, h, l, c float64) types.KLine {
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return types.KLine{
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Symbol: symbol,
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StartTime: types.Time(startTime),
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EndTime: types.Time(startTime.Add(interval.Duration() - time.Millisecond)),
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Interval: interval,
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Open: fixedpoint.NewFromFloat(o),
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High: fixedpoint.NewFromFloat(h),
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Low: fixedpoint.NewFromFloat(l),
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Close: fixedpoint.NewFromFloat(c),
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Closed: true,
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}
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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 getTestAccount() *types.Account {
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account := &types.Account{
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MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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}
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account.UpdateBalances(types.BalanceMap{
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"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(1000000.0)},
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"BTC": {Currency: "BTC", Available: fixedpoint.NewFromFloat(100.0)},
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})
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return account
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}
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func TestSimplePriceMatching_StopLimitOrderBuy(t *testing.T) {
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account := getTestAccount()
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market := getTestMarket()
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engine := &SimplePriceMatching{
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Account: account,
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Market: market,
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closedOrders: make(map[uint64]types.Order),
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LastPrice: fixedpoint.NewFromFloat(19000.0),
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}
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stopBuyOrder := types.SubmitOrder{
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Symbol: market.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeStopLimit,
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Quantity: fixedpoint.NewFromFloat(0.1),
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Price: fixedpoint.NewFromFloat(22000.0),
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StopPrice: fixedpoint.NewFromFloat(21000.0),
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TimeInForce: types.TimeInForceGTC,
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}
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createdOrder, trade, err := engine.PlaceOrder(stopBuyOrder)
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assert.NoError(t, err)
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assert.Nil(t, trade, "place stop order should not trigger the stop buy")
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assert.NotNil(t, createdOrder, "place stop order should not trigger the stop buy")
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// place some limit orders, so we ensure that the remaining orders are not removed.
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_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeBuy, 18000, 0.01))
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assert.NoError(t, err)
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_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeSell, 32000, 0.01))
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assert.NoError(t, err)
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assert.Equal(t, 2, len(engine.bidOrders))
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assert.Equal(t, 1, len(engine.askOrders))
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closedOrders, trades := engine.buyToPrice(fixedpoint.NewFromFloat(20000.0))
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assert.Len(t, closedOrders, 0, "price change far from the price should not trigger the stop buy")
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assert.Len(t, trades, 0, "price change far from the price should not trigger the stop buy")
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assert.Equal(t, 2, len(engine.bidOrders), "bid orders should be the same")
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assert.Equal(t, 1, len(engine.askOrders), "ask orders should be the same")
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closedOrders, trades = engine.buyToPrice(fixedpoint.NewFromFloat(21001.0))
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assert.Len(t, closedOrders, 1, "should trigger the stop buy order")
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assert.Len(t, trades, 1, "should have stop order trade executed")
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assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
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assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
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assert.Equal(t, "21001", trades[0].Price.String())
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assert.Equal(t, "21001", closedOrders[0].Price.String(), "order.Price should be adjusted")
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assert.Equal(t, fixedpoint.NewFromFloat(21001.0).String(), engine.LastPrice.String())
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stopOrder2 := types.SubmitOrder{
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Symbol: market.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeStopLimit,
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Quantity: fixedpoint.NewFromFloat(0.1),
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Price: fixedpoint.NewFromFloat(22000.0),
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StopPrice: fixedpoint.NewFromFloat(21000.0),
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TimeInForce: types.TimeInForceGTC,
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}
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createdOrder, trade, err = engine.PlaceOrder(stopOrder2)
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assert.NoError(t, err)
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assert.Nil(t, trade, "place stop order should not trigger the stop buy")
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assert.NotNil(t, createdOrder, "place stop order should not trigger the stop buy")
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assert.Len(t, engine.bidOrders, 2)
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closedOrders, trades = engine.sellToPrice(fixedpoint.NewFromFloat(20500.0))
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assert.Len(t, closedOrders, 1, "should trigger the stop buy order")
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assert.Len(t, trades, 1, "should have stop order trade executed")
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assert.Len(t, engine.bidOrders, 1, "should left one bid order")
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}
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func TestSimplePriceMatching_StopLimitOrderSell(t *testing.T) {
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account := getTestAccount()
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market := getTestMarket()
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engine := &SimplePriceMatching{
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Account: account,
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Market: market,
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closedOrders: make(map[uint64]types.Order),
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LastPrice: fixedpoint.NewFromFloat(22000.0),
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}
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stopSellOrder := types.SubmitOrder{
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Symbol: market.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeStopLimit,
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Quantity: fixedpoint.NewFromFloat(0.1),
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Price: fixedpoint.NewFromFloat(20000.0),
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StopPrice: fixedpoint.NewFromFloat(21000.0),
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TimeInForce: types.TimeInForceGTC,
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}
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createdOrder, trade, err := engine.PlaceOrder(stopSellOrder)
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assert.NoError(t, err)
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assert.Nil(t, trade, "place stop order should not trigger the stop sell")
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assert.NotNil(t, createdOrder, "place stop order should not trigger the stop sell")
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// place some limit orders, so we ensure that the remaining orders are not removed.
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_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeBuy, 18000, 0.01))
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assert.NoError(t, err)
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_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeSell, 32000, 0.01))
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assert.NoError(t, err)
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assert.Equal(t, 1, len(engine.bidOrders))
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assert.Equal(t, 2, len(engine.askOrders))
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closedOrders, trades := engine.sellToPrice(fixedpoint.NewFromFloat(21500.0))
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assert.Len(t, closedOrders, 0, "price change far from the price should not trigger the stop buy")
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assert.Len(t, trades, 0, "price change far from the price should not trigger the stop buy")
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assert.Equal(t, 1, len(engine.bidOrders))
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assert.Equal(t, 2, len(engine.askOrders))
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closedOrders, trades = engine.sellToPrice(fixedpoint.NewFromFloat(20990.0))
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assert.Len(t, closedOrders, 1, "should trigger the stop sell order")
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assert.Len(t, trades, 1, "should have stop order trade executed")
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assert.Equal(t, 1, len(engine.bidOrders))
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assert.Equal(t, 1, len(engine.askOrders))
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assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
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assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
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assert.Equal(t, "20990", closedOrders[0].Price.String())
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assert.Equal(t, "20990", trades[0].Price.String())
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assert.Equal(t, "20990", engine.LastPrice.String())
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// place a stop limit sell order with a higher price than the current price
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stopOrder2 := types.SubmitOrder{
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Symbol: market.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeStopLimit,
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Quantity: fixedpoint.NewFromFloat(0.1),
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Price: fixedpoint.NewFromFloat(20000.0),
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StopPrice: fixedpoint.NewFromFloat(21000.0),
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TimeInForce: types.TimeInForceGTC,
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}
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createdOrder, trade, err = engine.PlaceOrder(stopOrder2)
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assert.NoError(t, err)
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assert.Nil(t, trade, "place stop order should not trigger the stop sell")
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assert.NotNil(t, createdOrder, "place stop order should not trigger the stop sell")
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closedOrders, trades = engine.buyToPrice(fixedpoint.NewFromFloat(21000.0))
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if assert.Len(t, closedOrders, 1, "should trigger the stop sell order") {
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assert.Len(t, trades, 1, "should have stop order trade executed")
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assert.Equal(t, types.SideTypeSell, closedOrders[0].Side)
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assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
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assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
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assert.Equal(t, "21000", trades[0].Price.String(), "trade price should be the kline price not the order price")
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assert.Equal(t, "21000", engine.LastPrice.String(), "engine last price should be updated correctly")
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}
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}
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func TestSimplePriceMatching_StopMarketOrderSell(t *testing.T) {
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account := getTestAccount()
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market := getTestMarket()
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engine := &SimplePriceMatching{
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Account: account,
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Market: market,
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closedOrders: make(map[uint64]types.Order),
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LastPrice: fixedpoint.NewFromFloat(22000.0),
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}
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stopOrder := types.SubmitOrder{
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Symbol: market.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeStopMarket,
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Quantity: fixedpoint.NewFromFloat(0.1),
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Price: fixedpoint.NewFromFloat(20000.0),
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StopPrice: fixedpoint.NewFromFloat(21000.0),
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TimeInForce: types.TimeInForceGTC,
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}
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createdOrder, trade, err := engine.PlaceOrder(stopOrder)
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assert.NoError(t, err)
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assert.Nil(t, trade, "place stop order should not trigger the stop sell")
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assert.NotNil(t, createdOrder, "place stop order should not trigger the stop sell")
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closedOrders, trades := engine.sellToPrice(fixedpoint.NewFromFloat(21500.0))
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assert.Len(t, closedOrders, 0, "price change far from the price should not trigger the stop buy")
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assert.Len(t, trades, 0, "price change far from the price should not trigger the stop buy")
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closedOrders, trades = engine.sellToPrice(fixedpoint.NewFromFloat(20990.0))
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assert.Len(t, closedOrders, 1, "should trigger the stop sell order")
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assert.Len(t, trades, 1, "should have stop order trade executed")
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assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
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assert.Equal(t, types.OrderTypeMarket, closedOrders[0].Type)
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assert.Equal(t, fixedpoint.NewFromFloat(20990.0), trades[0].Price, "trade price should be adjusted to the last price")
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}
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func TestSimplePriceMatching_PlaceLimitOrder(t *testing.T) {
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account := getTestAccount()
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market := getTestMarket()
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engine := &SimplePriceMatching{
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Account: account,
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Market: market,
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closedOrders: make(map[uint64]types.Order),
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}
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for i := 0; i < 5; i++ {
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_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 8000.0-float64(i), 1.0))
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assert.NoError(t, err)
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}
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assert.Len(t, engine.bidOrders, 5)
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assert.Len(t, engine.askOrders, 0)
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for i := 0; i < 5; i++ {
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_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeSell, 9000.0+float64(i), 1.0))
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assert.NoError(t, err)
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}
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assert.Len(t, engine.bidOrders, 5)
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assert.Len(t, engine.askOrders, 5)
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closedOrders, trades := engine.sellToPrice(fixedpoint.NewFromFloat(8100.0))
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assert.Len(t, closedOrders, 0)
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assert.Len(t, trades, 0)
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closedOrders, trades = engine.sellToPrice(fixedpoint.NewFromFloat(8000.0))
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assert.Len(t, closedOrders, 1)
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assert.Len(t, trades, 1)
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for _, trade := range trades {
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assert.True(t, trade.IsBuyer)
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}
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for _, o := range closedOrders {
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assert.Equal(t, types.SideTypeBuy, o.Side)
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}
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closedOrders, trades = engine.sellToPrice(fixedpoint.NewFromFloat(7000.0))
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assert.Len(t, closedOrders, 4)
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assert.Len(t, trades, 4)
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closedOrders, trades = engine.buyToPrice(fixedpoint.NewFromFloat(8900.0))
|
|
assert.Len(t, closedOrders, 0)
|
|
assert.Len(t, trades, 0)
|
|
|
|
closedOrders, trades = engine.buyToPrice(fixedpoint.NewFromFloat(9000.0))
|
|
assert.Len(t, closedOrders, 1)
|
|
assert.Len(t, trades, 1)
|
|
for _, o := range closedOrders {
|
|
assert.Equal(t, types.SideTypeSell, o.Side)
|
|
}
|
|
for _, trade := range trades {
|
|
assert.Equal(t, types.SideTypeSell, trade.Side)
|
|
}
|
|
|
|
closedOrders, trades = engine.buyToPrice(fixedpoint.NewFromFloat(9500.0))
|
|
assert.Len(t, closedOrders, 4)
|
|
assert.Len(t, trades, 4)
|
|
}
|
|
|
|
func Test_calculateNativeOrderFee(t *testing.T) {
|
|
market := getTestMarket()
|
|
|
|
t.Run("sellOrder", func(t *testing.T) {
|
|
order := types.Order{
|
|
SubmitOrder: types.SubmitOrder{
|
|
Symbol: market.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeLimit,
|
|
Quantity: fixedpoint.NewFromFloat(0.1),
|
|
Price: fixedpoint.NewFromFloat(20000.0),
|
|
TimeInForce: types.TimeInForceGTC,
|
|
},
|
|
}
|
|
feeRate := fixedpoint.MustNewFromString("0.075%")
|
|
fee, feeCurrency := calculateNativeOrderFee(&order, market, feeRate)
|
|
assert.Equal(t, "1.5", fee.String())
|
|
assert.Equal(t, "USDT", feeCurrency)
|
|
})
|
|
|
|
t.Run("buyOrder", func(t *testing.T) {
|
|
order := types.Order{
|
|
SubmitOrder: types.SubmitOrder{
|
|
Symbol: market.Symbol,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeLimit,
|
|
Quantity: fixedpoint.NewFromFloat(0.1),
|
|
Price: fixedpoint.NewFromFloat(20000.0),
|
|
TimeInForce: types.TimeInForceGTC,
|
|
},
|
|
}
|
|
|
|
feeRate := fixedpoint.MustNewFromString("0.075%")
|
|
fee, feeCurrency := calculateNativeOrderFee(&order, market, feeRate)
|
|
assert.Equal(t, "0.000075", fee.String())
|
|
assert.Equal(t, "BTC", feeCurrency)
|
|
})
|
|
}
|
|
|
|
func TestSimplePriceMatching_LimitTakerOrder(t *testing.T) {
|
|
account := getTestAccount()
|
|
market := getTestMarket()
|
|
engine := &SimplePriceMatching{
|
|
Account: account,
|
|
Market: market,
|
|
closedOrders: make(map[uint64]types.Order),
|
|
LastPrice: fixedpoint.NewFromFloat(20000.0),
|
|
}
|
|
|
|
closedOrder, trade, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 21000.0, 1.0))
|
|
assert.NoError(t, err)
|
|
if assert.NotNil(t, closedOrder) {
|
|
if assert.NotNil(t, trade) {
|
|
assert.Equal(t, "20000", trade.Price.String())
|
|
assert.False(t, trade.IsMaker, "should be taker")
|
|
}
|
|
}
|
|
|
|
closedOrder, trade, err = engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeSell, 19000.0, 1.0))
|
|
assert.NoError(t, err)
|
|
if assert.NotNil(t, closedOrder) {
|
|
assert.Equal(t, "19000", closedOrder.Price.String())
|
|
if assert.NotNil(t, trade) {
|
|
assert.Equal(t, "20000", trade.Price.String())
|
|
assert.False(t, trade.IsMaker, "should be taker")
|
|
}
|
|
}
|
|
}
|