mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 17:13:51 +00:00
249 lines
7.4 KiB
Go
249 lines
7.4 KiB
Go
package ftx
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import (
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"encoding/json"
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"io/ioutil"
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"strings"
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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 Test_rawResponse_toSubscribedResp(t *testing.T) {
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input := `{"type": "subscribed", "channel": "orderbook", "market": "BTC/USDT"}`
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var m websocketResponse
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assert.NoError(t, json.Unmarshal([]byte(input), &m))
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r, err := m.toSubscribedResponse()
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assert.NoError(t, err)
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assert.Equal(t, subscribedResponse{
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mandatoryFields: mandatoryFields{
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Channel: orderBookChannel,
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Type: subscribedRespType,
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},
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Market: "BTC/USDT",
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}, r)
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}
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func Test_websocketResponse_toPublicOrderBookResponse(t *testing.T) {
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f, err := ioutil.ReadFile("./orderbook_snapshot.json")
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assert.NoError(t, err)
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var m websocketResponse
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assert.NoError(t, json.Unmarshal(f, &m))
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r, err := m.toPublicOrderBookResponse()
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assert.NoError(t, err)
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assert.Equal(t, partialRespType, r.Type)
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assert.Equal(t, orderBookChannel, r.Channel)
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assert.Equal(t, "BTC/USDT", r.Market)
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assert.Equal(t, int64(1614520368), r.Timestamp.Unix())
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assert.Equal(t, uint32(2150525410), r.Checksum)
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assert.Len(t, r.Bids, 100)
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assert.Equal(t, []json.Number{"44555.0", "3.3968"}, r.Bids[0])
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assert.Equal(t, []json.Number{"44554.0", "0.0561"}, r.Bids[1])
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assert.Len(t, r.Asks, 100)
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assert.Equal(t, []json.Number{"44574.0", "0.4591"}, r.Asks[0])
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assert.Equal(t, []json.Number{"44579.0", "0.15"}, r.Asks[1])
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}
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func Test_orderBookResponse_toGlobalOrderBook(t *testing.T) {
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f, err := ioutil.ReadFile("./orderbook_snapshot.json")
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assert.NoError(t, err)
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var m websocketResponse
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assert.NoError(t, json.Unmarshal(f, &m))
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r, err := m.toPublicOrderBookResponse()
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assert.NoError(t, err)
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b, err := toGlobalOrderBook(r)
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assert.NoError(t, err)
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assert.Equal(t, "BTCUSDT", b.Symbol)
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isValid, err := b.IsValid()
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assert.True(t, isValid)
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assert.NoError(t, err)
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assert.Len(t, b.Bids, 100)
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assert.Equal(t, types.PriceVolume{
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Price: fixedpoint.MustNewFromString("44555.0"),
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Volume: fixedpoint.MustNewFromString("3.3968"),
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}, b.Bids[0])
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assert.Equal(t, types.PriceVolume{
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Price: fixedpoint.MustNewFromString("44222.0"),
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Volume: fixedpoint.MustNewFromString("0.0002"),
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}, b.Bids[99])
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assert.Len(t, b.Asks, 100)
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assert.Equal(t, types.PriceVolume{
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Price: fixedpoint.MustNewFromString("44574.0"),
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Volume: fixedpoint.MustNewFromString("0.4591"),
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}, b.Asks[0])
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assert.Equal(t, types.PriceVolume{
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Price: fixedpoint.MustNewFromString("45010.0"),
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Volume: fixedpoint.MustNewFromString("0.0003"),
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}, b.Asks[99])
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}
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func Test_checksumString(t *testing.T) {
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type args struct {
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bids [][]json.Number
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asks [][]json.Number
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}
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tests := []struct {
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name string
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args args
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want string
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}{
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{
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name: "more bids",
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args: args{
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bids: [][]json.Number{{"5000.5", "10"}, {"4995.0", "5"}},
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asks: [][]json.Number{{"5001.0", "6"}},
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},
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want: "5000.5:10:5001.0:6:4995.0:5",
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},
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{
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name: "lengths of bids and asks are the same",
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args: args{
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bids: [][]json.Number{{"5000.5", "10"}, {"4995.0", "5"}},
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asks: [][]json.Number{{"5001.0", "6"}, {"5002.0", "7"}},
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},
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want: "5000.5:10:5001.0:6:4995.0:5:5002.0:7",
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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if got := checksumString(tt.args.bids, tt.args.asks); got != tt.want {
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t.Errorf("checksumString() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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func Test_orderBookResponse_verifyChecksum(t *testing.T) {
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for _, file := range []string{"./orderbook_snapshot.json"} {
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f, err := ioutil.ReadFile(file)
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assert.NoError(t, err)
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var m websocketResponse
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assert.NoError(t, json.Unmarshal(f, &m))
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r, err := m.toPublicOrderBookResponse()
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assert.NoError(t, err)
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assert.NoError(t, r.verifyChecksum(), "filename: "+file)
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}
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}
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func Test_removePrice(t *testing.T) {
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pairs := [][]json.Number{{"123.99", "2.0"}, {"2234.12", "3.1"}}
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assert.Equal(t, pairs, removePrice(pairs, "99333"))
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pairs = removePrice(pairs, "2234.12")
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assert.Equal(t, [][]json.Number{{"123.99", "2.0"}}, pairs)
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assert.Equal(t, [][]json.Number{}, removePrice(pairs, "123.99"))
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}
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func Test_orderBookResponse_update(t *testing.T) {
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ob := &orderBookResponse{Bids: nil, Asks: nil}
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ob.update(orderBookResponse{
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Bids: [][]json.Number{{"1.0", "0"}, {"10.0", "1"}, {"11.0", "1"}},
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Asks: [][]json.Number{{"1.0", "1"}},
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})
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assert.Equal(t, [][]json.Number{{"11.0", "1"}, {"10.0", "1"}}, ob.Bids)
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assert.Equal(t, [][]json.Number{{"1.0", "1"}}, ob.Asks)
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ob.update(orderBookResponse{
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Bids: [][]json.Number{{"9.0", "1"}, {"12.0", "1"}, {"10.5", "1"}},
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Asks: [][]json.Number{{"1.0", "0"}},
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})
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assert.Equal(t, [][]json.Number{{"12.0", "1"}, {"11.0", "1"}, {"10.5", "1"}, {"10.0", "1"}, {"9.0", "1"}}, ob.Bids)
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assert.Equal(t, [][]json.Number{}, ob.Asks)
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// remove them
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ob.update(orderBookResponse{
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Bids: [][]json.Number{{"9.0", "0"}, {"12.0", "0"}, {"10.5", "0"}},
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Asks: [][]json.Number{{"9.0", "1"}, {"12.0", "1"}, {"10.5", "1"}},
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})
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assert.Equal(t, [][]json.Number{{"11.0", "1"}, {"10.0", "1"}}, ob.Bids)
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assert.Equal(t, [][]json.Number{{"9.0", "1"}, {"10.5", "1"}, {"12.0", "1"}}, ob.Asks)
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}
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func Test_insertAt(t *testing.T) {
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r := insertAt([][]json.Number{{"1.2", "2"}, {"1.4", "2"}}, 1, []json.Number{"1.3", "2"})
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assert.Equal(t, [][]json.Number{{"1.2", "2"}, {"1.3", "2"}, {"1.4", "2"}}, r)
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r = insertAt([][]json.Number{{"1.2", "2"}, {"1.4", "2"}}, 0, []json.Number{"1.1", "2"})
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assert.Equal(t, [][]json.Number{{"1.1", "2"}, {"1.2", "2"}, {"1.4", "2"}}, r)
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r = insertAt([][]json.Number{{"1.2", "2"}, {"1.4", "2"}}, 2, []json.Number{"1.5", "2"})
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assert.Equal(t, [][]json.Number{{"1.2", "2"}, {"1.4", "2"}, {"1.5", "2"}}, r)
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}
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func Test_newLoginRequest(t *testing.T) {
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// From API doc: https://docs.ftx.com/?javascript#authentication-2
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r := newLoginRequest("", "Y2QTHI23f23f23jfjas23f23To0RfUwX3H42fvN-", time.Unix(0, 1557246346499*int64(time.Millisecond)), "")
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expectedSignature := "d10b5a67a1a941ae9463a60b285ae845cdeac1b11edc7da9977bef0228b96de9"
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assert.Equal(t, expectedSignature, r.Login.Signature)
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jsonStr, err := json.Marshal(r)
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assert.NoError(t, err)
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assert.True(t, strings.Contains(string(jsonStr), expectedSignature))
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}
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func Test_websocketResponse_toOrderUpdateResponse(t *testing.T) {
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input := []byte(`
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{
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"channel": "orders",
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"type": "update",
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"data": {
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"id": 12345,
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"clientId": "test-client-id",
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"market": "SOL/USD",
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"type": "limit",
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"side": "buy",
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"price": 0.5,
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"size": 100.0,
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"status": "closed",
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"filledSize": 0.0,
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"remainingSize": 0.0,
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"reduceOnly": false,
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"liquidation": false,
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"avgFillPrice": null,
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"postOnly": false,
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"ioc": false,
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"createdAt": "2021-03-27T11:00:36.418674+00:00"
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}
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}
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`)
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var raw websocketResponse
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assert.NoError(t, json.Unmarshal(input, &raw))
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r, err := raw.toOrderUpdateResponse()
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assert.NoError(t, err)
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assert.Equal(t, orderUpdateResponse{
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mandatoryFields: mandatoryFields{
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Channel: privateOrdersChannel,
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Type: updateRespType,
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},
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Data: order{
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ID: 12345,
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ClientId: "test-client-id",
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Market: "SOL/USD",
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Type: "limit",
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Side: "buy",
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Price: 0.5,
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Size: 100,
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Status: "closed",
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FilledSize: 0.0,
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RemainingSize: 0.0,
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ReduceOnly: false,
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Liquidation: false,
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AvgFillPrice: 0,
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PostOnly: false,
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Ioc: false,
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CreatedAt: datetime{Time: mustParseDatetime("2021-03-27T11:00:36.418674+00:00")},
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Future: "",
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},
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}, r)
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}
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