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65 lines
2.1 KiB
Go
65 lines
2.1 KiB
Go
package shakegrid
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import (
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/stretchr/testify/assert"
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"testing"
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)
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func TestNewGrid(t *testing.T) {
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upper := fixedpoint.NewFromFloat(500.0)
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lower := fixedpoint.NewFromFloat(100.0)
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size := fixedpoint.NewFromFloat(100.0)
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grid := NewGrid(lower, upper, size)
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assert.Equal(t, upper, grid.UpperPrice)
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assert.Equal(t, lower, grid.LowerPrice)
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assert.Equal(t, fixedpoint.NewFromFloat(4), grid.Spread)
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if assert.Len(t, grid.Pins, 101) {
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assert.Equal(t, fixedpoint.NewFromFloat(100.0), grid.Pins[0])
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assert.Equal(t, fixedpoint.NewFromFloat(500.0), grid.Pins[100])
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}
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}
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func TestGrid_ExtendUpperPrice(t *testing.T) {
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upper := fixedpoint.NewFromFloat(500.0)
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lower := fixedpoint.NewFromFloat(100.0)
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size := fixedpoint.NewFromFloat(100.0)
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grid := NewGrid(lower, upper, size)
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originalSpread := grid.Spread
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newPins := grid.ExtendUpperPrice(fixedpoint.NewFromFloat(1000.0))
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assert.Equal(t, originalSpread, grid.Spread)
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assert.Len(t, newPins, 125) // (1000-500) / 4
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assert.Equal(t, fixedpoint.NewFromFloat(4), grid.Spread)
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if assert.Len(t, grid.Pins, 226) {
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assert.Equal(t, fixedpoint.NewFromFloat(100.0), grid.Pins[0])
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assert.Equal(t, fixedpoint.NewFromFloat(1000.0), grid.Pins[225])
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}
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}
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func TestGrid_ExtendLowerPrice(t *testing.T) {
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upper := fixedpoint.NewFromFloat(3000.0)
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lower := fixedpoint.NewFromFloat(2000.0)
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size := fixedpoint.NewFromFloat(100.0)
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grid := NewGrid(lower, upper, size)
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// spread = (3000 - 2000) / 100.0
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expectedSpread := fixedpoint.NewFromFloat(10.0)
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assert.Equal(t, expectedSpread, grid.Spread)
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originalSpread := grid.Spread
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newPins := grid.ExtendLowerPrice(fixedpoint.NewFromFloat(1000.0))
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assert.Equal(t, originalSpread, grid.Spread)
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// 100 = (2000-1000) / 10
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if assert.Len(t, newPins, 100) {
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assert.Equal(t, fixedpoint.NewFromFloat(2000.0) - expectedSpread, newPins[99])
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}
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assert.Equal(t, expectedSpread, grid.Spread)
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if assert.Len(t, grid.Pins, 201) {
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assert.Equal(t, fixedpoint.NewFromFloat(1000.0), grid.Pins[0])
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assert.Equal(t, fixedpoint.NewFromFloat(3000.0), grid.Pins[200])
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}
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}
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