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278 lines
8.5 KiB
Go
278 lines
8.5 KiB
Go
//go:build !dnum
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package grid2
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import (
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"testing"
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"github.com/sirupsen/logrus"
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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 TestStrategy_checkRequiredInvestmentByQuantity(t *testing.T) {
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s := &Strategy{
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logger: logrus.NewEntry(logrus.New()),
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Market: types.Market{
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BaseCurrency: "BTC",
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QuoteCurrency: "USDT",
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},
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}
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t.Run("quote to base balance conversion check", func(t *testing.T) {
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_, requiredQuote, err := s.checkRequiredInvestmentByQuantity(number(0.0), number(10_000.0), number(0.1), number(13_500.0), []Pin{
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Pin(number(10_000.0)), // 0.1 * 10_000 = 1000 USD (buy)
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Pin(number(11_000.0)), // 0.1 * 11_000 = 1100 USD (buy)
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Pin(number(12_000.0)), // 0.1 * 12_000 = 1200 USD (buy)
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Pin(number(13_000.0)), // 0.1 * 13_000 = 1300 USD (buy)
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Pin(number(14_000.0)), // 0.1 * 14_000 = 1400 USD (buy)
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Pin(number(15_000.0)), // 0.1 * 15_000 = 1500 USD
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})
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assert.NoError(t, err)
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assert.Equal(t, number(6000.0), requiredQuote)
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})
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t.Run("quote to base balance conversion not enough", func(t *testing.T) {
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_, requiredQuote, err := s.checkRequiredInvestmentByQuantity(number(0.0), number(5_000.0), number(0.1), number(13_500.0), []Pin{
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Pin(number(10_000.0)), // 0.1 * 10_000 = 1000 USD (buy)
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Pin(number(11_000.0)), // 0.1 * 11_000 = 1100 USD (buy)
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Pin(number(12_000.0)), // 0.1 * 12_000 = 1200 USD (buy)
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Pin(number(13_000.0)), // 0.1 * 13_000 = 1300 USD (buy)
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Pin(number(14_000.0)), // 0.1 * 14_000 = 1400 USD (buy)
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Pin(number(15_000.0)), // 0.1 * 15_000 = 1500 USD
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})
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assert.EqualError(t, err, "quote balance (5000.000000 USDT) is not enough, required = quote 6000.000000")
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assert.Equal(t, number(6000.0), requiredQuote)
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})
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}
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type PriceSideAssert struct {
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Price fixedpoint.Value
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Side types.SideType
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}
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func assertPriceSide(t *testing.T, priceSideAsserts []PriceSideAssert, orders []types.SubmitOrder) {
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for i, a := range priceSideAsserts {
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assert.Equal(t, a.Side, orders[i].Side)
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assert.Equal(t, a.Price, orders[i].Price)
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}
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}
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func TestStrategy_generateGridOrders(t *testing.T) {
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t.Run("quote only", func(t *testing.T) {
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s := newTestStrategy()
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s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
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s.grid.CalculateArithmeticPins()
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s.QuantityOrAmount.Quantity = number(0.01)
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lastPrice := number(15300)
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orders, err := s.generateGridOrders(number(10000.0), number(0), lastPrice)
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assert.NoError(t, err)
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if !assert.Equal(t, 10, len(orders)) {
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for _, o := range orders {
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t.Logf("- %s %s", o.Price.String(), o.Side)
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}
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}
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assertPriceSide(t, []PriceSideAssert{
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{number(19000.0), types.SideTypeBuy},
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{number(18000.0), types.SideTypeBuy},
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{number(17000.0), types.SideTypeBuy},
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{number(16000.0), types.SideTypeBuy},
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{number(15000.0), types.SideTypeBuy},
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{number(14000.0), types.SideTypeBuy},
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{number(13000.0), types.SideTypeBuy},
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{number(12000.0), types.SideTypeBuy},
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{number(11000.0), types.SideTypeBuy},
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{number(10000.0), types.SideTypeBuy},
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}, orders)
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})
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t.Run("base + quote", func(t *testing.T) {
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s := newTestStrategy()
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s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
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s.grid.CalculateArithmeticPins()
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s.QuantityOrAmount.Quantity = number(0.01)
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lastPrice := number(15300)
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orders, err := s.generateGridOrders(number(10000.0), number(0.021), lastPrice)
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assert.NoError(t, err)
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if !assert.Equal(t, 10, len(orders)) {
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for _, o := range orders {
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t.Logf("- %s %s", o.Price.String(), o.Side)
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}
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}
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assertPriceSide(t, []PriceSideAssert{
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{number(20000.0), types.SideTypeSell},
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{number(19000.0), types.SideTypeSell},
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{number(17000.0), types.SideTypeBuy},
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{number(16000.0), types.SideTypeBuy},
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{number(15000.0), types.SideTypeBuy},
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{number(14000.0), types.SideTypeBuy},
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{number(13000.0), types.SideTypeBuy},
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{number(12000.0), types.SideTypeBuy},
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{number(11000.0), types.SideTypeBuy},
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{number(10000.0), types.SideTypeBuy},
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}, orders)
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})
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t.Run("enough base + quote", func(t *testing.T) {
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s := newTestStrategy()
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s.grid = NewGrid(s.LowerPrice, s.UpperPrice, fixedpoint.NewFromInt(s.GridNum), s.Market.TickSize)
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s.grid.CalculateArithmeticPins()
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s.QuantityOrAmount.Quantity = number(0.01)
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lastPrice := number(15300)
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orders, err := s.generateGridOrders(number(10000.0), number(1.0), lastPrice)
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assert.NoError(t, err)
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if !assert.Equal(t, 10, len(orders)) {
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for _, o := range orders {
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t.Logf("- %s %s", o.Price.String(), o.Side)
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}
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}
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assertPriceSide(t, []PriceSideAssert{
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{number(20000.0), types.SideTypeSell},
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{number(19000.0), types.SideTypeSell},
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{number(18000.0), types.SideTypeSell},
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{number(17000.0), types.SideTypeSell},
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{number(16000.0), types.SideTypeSell},
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{number(14000.0), types.SideTypeBuy},
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{number(13000.0), types.SideTypeBuy},
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{number(12000.0), types.SideTypeBuy},
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{number(11000.0), types.SideTypeBuy},
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{number(10000.0), types.SideTypeBuy},
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}, orders)
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})
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}
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func TestStrategy_checkRequiredInvestmentByAmount(t *testing.T) {
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s := &Strategy{
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logger: logrus.NewEntry(logrus.New()),
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Market: types.Market{
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BaseCurrency: "BTC",
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QuoteCurrency: "USDT",
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},
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}
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t.Run("quote to base balance conversion", func(t *testing.T) {
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_, requiredQuote, err := s.checkRequiredInvestmentByAmount(
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number(0.0), number(3_000.0),
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number(1000.0),
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number(13_500.0), []Pin{
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Pin(number(10_000.0)),
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Pin(number(11_000.0)),
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Pin(number(12_000.0)),
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Pin(number(13_000.0)),
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Pin(number(14_000.0)),
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Pin(number(15_000.0)),
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})
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assert.EqualError(t, err, "quote balance (3000.000000 USDT) is not enough, required = quote 4999.999890")
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assert.InDelta(t, 4999.999890, requiredQuote.Float64(), number(0.001).Float64())
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})
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}
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func TestStrategy_calculateQuoteInvestmentQuantity(t *testing.T) {
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s := &Strategy{
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logger: logrus.NewEntry(logrus.New()),
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Market: types.Market{
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BaseCurrency: "BTC",
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QuoteCurrency: "USDT",
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},
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}
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t.Run("calculate quote quantity from quote investment", func(t *testing.T) {
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// quoteInvestment = (10,000 + 11,000 + 12,000 + 13,000 + 14,000) * q
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// q = quoteInvestment / (10,000 + 11,000 + 12,000 + 13,000 + 14,000)
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// q = 12_000 / (10,000 + 11,000 + 12,000 + 13,000 + 14,000)
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// q = 0.2
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quantity, err := s.calculateQuoteInvestmentQuantity(number(12_000.0), number(13_500.0), []Pin{
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Pin(number(10_000.0)), // buy
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Pin(number(11_000.0)), // buy
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Pin(number(12_000.0)), // buy
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Pin(number(13_000.0)), // buy
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Pin(number(14_000.0)), // buy
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Pin(number(15_000.0)),
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})
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assert.NoError(t, err)
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assert.Equal(t, number(0.2).String(), quantity.String())
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})
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}
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func newTestStrategy() *Strategy {
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market := 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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}
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s := &Strategy{
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logger: logrus.NewEntry(logrus.New()),
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Market: market,
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GridProfitStats: newGridProfitStats(market),
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UpperPrice: number(20_000),
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LowerPrice: number(10_000),
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GridNum: 10,
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}
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return s
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}
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func TestStrategy_calculateProfit(t *testing.T) {
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t.Run("earn quote without compound", func(t *testing.T) {
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s := newTestStrategy()
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profit := s.calculateProfit(types.Order{
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SubmitOrder: types.SubmitOrder{
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Price: number(13_000),
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Quantity: number(1.0),
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},
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}, number(12_000), number(1.0))
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assert.NotNil(t, profit)
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assert.Equal(t, "USDT", profit.Currency)
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assert.InDelta(t, 1000.0, profit.Profit.Float64(), 0.1)
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})
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t.Run("earn quote with compound", func(t *testing.T) {
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s := newTestStrategy()
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s.Compound = true
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profit := s.calculateProfit(types.Order{
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SubmitOrder: types.SubmitOrder{
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Price: number(13_000),
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Quantity: number(1.0),
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},
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}, number(12_000), number(1.0))
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assert.NotNil(t, profit)
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assert.Equal(t, "USDT", profit.Currency)
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assert.InDelta(t, 1000.0, profit.Profit.Float64(), 0.1)
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})
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t.Run("earn base without compound", func(t *testing.T) {
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s := newTestStrategy()
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s.EarnBase = true
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s.Compound = false
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quoteQuantity := number(12_000).Mul(number(1.0))
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sellQuantity := quoteQuantity.Div(number(13_000.0))
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buyOrder := types.SubmitOrder{
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Price: number(12_000.0),
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Quantity: number(1.0),
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}
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profit := s.calculateProfit(types.Order{
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SubmitOrder: types.SubmitOrder{
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Price: number(13_000.0),
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Quantity: sellQuantity,
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},
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}, buyOrder.Price, buyOrder.Quantity)
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assert.NotNil(t, profit)
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assert.Equal(t, "BTC", profit.Currency)
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assert.InDelta(t, sellQuantity.Float64()-buyOrder.Quantity.Float64(), profit.Profit.Float64(), 0.001)
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})
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}
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