mirror of
https://github.com/c9s/bbgo.git
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302 lines
8.2 KiB
Go
302 lines
8.2 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/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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)
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func number(a interface{}) fixedpoint.Value {
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switch v := a.(type) {
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case string:
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return fixedpoint.MustNewFromString(v)
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case int:
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return fixedpoint.NewFromInt(int64(v))
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case int64:
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return fixedpoint.NewFromInt(int64(v))
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case float64:
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return fixedpoint.NewFromFloat(v)
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}
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return fixedpoint.Zero
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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(101.0)
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grid := NewGrid(lower, upper, size, number(0.01))
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grid.CalculateArithmeticPins()
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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, Pin(number(100.0)), grid.Pins[0])
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assert.Equal(t, Pin(number(500.0)), grid.Pins[100])
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}
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}
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func TestGrid_HasPin(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(101.0)
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grid := NewGrid(lower, upper, size, number(0.01))
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grid.CalculateArithmeticPins()
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assert.True(t, grid.HasPin(Pin(number(100.0))))
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assert.True(t, grid.HasPin(Pin(number(500.0))))
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assert.False(t, grid.HasPin(Pin(number(101.0))))
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}
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func TestGrid_ExtendUpperPrice(t *testing.T) {
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upper := number(500.0)
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lower := number(100.0)
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size := number(5.0)
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grid := NewGrid(lower, upper, size, number(0.01))
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grid.CalculateArithmeticPins()
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originalSpread := grid.Spread
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t.Logf("pins: %+v", grid.Pins)
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assert.Equal(t, number(100.0), originalSpread)
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assert.Len(t, grid.Pins, 5)
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newPins := grid.ExtendUpperPrice(number(1000.0))
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assert.Len(t, grid.Pins, 10)
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assert.Len(t, newPins, 5)
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assert.Equal(t, originalSpread, grid.Spread)
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t.Logf("pins: %+v", grid.Pins)
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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(11.0)
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grid := NewGrid(lower, upper, size, number(0.01))
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grid.CalculateArithmeticPins()
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assert.Equal(t, Pin(number(2000.0)), grid.BottomPin(), "bottom pin should be 1000.0")
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assert.Equal(t, Pin(number(3000.0)), grid.TopPin(), "top pin should be 3000.0")
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assert.Len(t, grid.Pins, 11)
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// spread = (3000 - 2000) / 10.0
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expectedSpread := fixedpoint.NewFromFloat(100.0)
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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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t.Logf("newPins: %+v", newPins)
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// 100 = (2000-1000) / 10
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if assert.Len(t, newPins, 10) {
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assert.Equal(t, Pin(number(1000.0)), newPins[0])
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assert.Equal(t, Pin(number(1900.0)), newPins[len(newPins)-1])
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}
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assert.Equal(t, expectedSpread, grid.Spread)
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if assert.Len(t, grid.Pins, 21) {
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assert.Equal(t, Pin(number(1000.0)), grid.BottomPin(), "bottom pin should be 1000.0")
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assert.Equal(t, Pin(number(3000.0)), grid.TopPin(), "top pin should be 3000.0")
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}
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}
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func TestGrid_NextLowerPin(t *testing.T) {
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upper := number(500.0)
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lower := number(100.0)
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size := number(5.0)
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grid := NewGrid(lower, upper, size, number(0.01))
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grid.CalculateArithmeticPins()
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t.Logf("pins: %+v", grid.Pins)
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next, ok := grid.NextLowerPin(number(200.0))
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assert.True(t, ok)
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assert.Equal(t, Pin(number(100.0)), next)
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next, ok = grid.NextLowerPin(number(150.0))
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assert.False(t, ok)
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assert.Equal(t, Pin(fixedpoint.Zero), next)
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}
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func TestGrid_HasPrice(t *testing.T) {
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t.Run("case1", func(t *testing.T) {
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upper := number(500.0)
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lower := number(100.0)
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size := number(5.0)
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grid := NewGrid(lower, upper, size, number(0.01))
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grid.CalculateArithmeticPins()
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assert.True(t, grid.HasPrice(number(500.0)), "upper price")
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assert.True(t, grid.HasPrice(number(100.0)), "lower price")
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assert.True(t, grid.HasPrice(number(200.0)), "found 200 price ok")
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assert.True(t, grid.HasPrice(number(300.0)), "found 300 price ok")
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})
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t.Run("case2", func(t *testing.T) {
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upper := number(0.9)
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lower := number(0.1)
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size := number(7.0)
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grid := NewGrid(lower, upper, size, number(0.00000001))
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grid.CalculateArithmeticPins()
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assert.Equal(t, []Pin{
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Pin(number(0.1)),
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Pin(number(0.23333333)),
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Pin(number(0.36666666)),
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Pin(number(0.49999999)),
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Pin(number(0.63333332)),
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Pin(number(0.76666665)),
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Pin(number(0.9)),
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}, grid.Pins)
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assert.False(t, grid.HasPrice(number(200.0)), "out of range")
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assert.True(t, grid.HasPrice(number(0.9)), "upper price")
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assert.True(t, grid.HasPrice(number(0.1)), "lower price")
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assert.True(t, grid.HasPrice(number(0.49999999)), "found 0.49999999 price ok")
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})
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t.Run("case3", func(t *testing.T) {
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upper := number(0.9)
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lower := number(0.1)
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size := number(7.0)
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grid := NewGrid(lower, upper, size, number(0.0001))
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grid.CalculateArithmeticPins()
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assert.Equal(t, []Pin{
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Pin(number(0.1)),
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Pin(number(0.2333)),
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Pin(number(0.3666)),
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Pin(number(0.5000)),
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Pin(number(0.6333)),
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Pin(number(0.7666)),
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Pin(number(0.9)),
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}, grid.Pins)
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assert.False(t, grid.HasPrice(number(200.0)), "out of range")
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assert.True(t, grid.HasPrice(number(0.9)), "upper price")
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assert.True(t, grid.HasPrice(number(0.1)), "lower price")
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assert.True(t, grid.HasPrice(number(0.5)), "found 0.5 price ok")
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assert.True(t, grid.HasPrice(number(0.2333)), "found 0.2333 price ok")
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})
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t.Run("case4", func(t *testing.T) {
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upper := number(90.0)
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lower := number(10.0)
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size := number(7.0)
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grid := NewGrid(lower, upper, size, number(0.001))
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grid.CalculateArithmeticPins()
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assert.Equal(t, []Pin{
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Pin(number("10.0")),
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Pin(number("23.333")),
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Pin(number("36.666")),
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Pin(number("50.00")),
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Pin(number("63.333")),
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Pin(number("76.666")),
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Pin(number("90.0")),
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}, grid.Pins)
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assert.False(t, grid.HasPrice(number(200.0)), "out of range")
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assert.True(t, grid.HasPrice(number("36.666")), "found 36.666 price ok")
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})
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}
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func TestGrid_NextHigherPin(t *testing.T) {
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upper := number(500.0)
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lower := number(100.0)
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size := number(5.0)
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grid := NewGrid(lower, upper, size, number(0.01))
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grid.CalculateArithmeticPins()
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t.Logf("pins: %+v", grid.Pins)
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next, ok := grid.NextHigherPin(number(100.0))
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assert.True(t, ok)
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assert.Equal(t, Pin(number(200.0)), next)
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next, ok = grid.NextHigherPin(number(400.0))
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assert.True(t, ok)
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assert.Equal(t, Pin(number(500.0)), next)
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next, ok = grid.NextHigherPin(number(500.0))
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assert.False(t, ok)
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assert.Equal(t, Pin(fixedpoint.Zero), next)
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}
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func Test_calculateArithmeticPins(t *testing.T) {
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type args struct {
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lower fixedpoint.Value
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upper fixedpoint.Value
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size fixedpoint.Value
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tickSize fixedpoint.Value
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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 []Pin
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}{
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{
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// (3000-1000)/30 = 66.6666666
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name: "simple",
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args: args{
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lower: number(1000.0),
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upper: number(3000.0),
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size: number(30.0),
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tickSize: number(0.01),
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},
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want: []Pin{
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Pin(number(1000.0)),
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Pin(number(1066.660)),
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Pin(number(1133.330)),
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Pin(number("1200.00")),
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Pin(number(1266.660)),
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Pin(number(1333.330)),
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Pin(number(1400.000)),
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Pin(number(1466.660)),
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Pin(number(1533.330)),
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Pin(number(1600.000)),
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Pin(number(1666.660)),
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Pin(number(1733.330)),
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Pin(number(1800.000)),
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Pin(number(1866.660)),
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Pin(number(1933.330)),
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Pin(number(2000.000)),
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Pin(number(2066.660)),
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Pin(number(2133.330)),
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Pin(number("2200.00")),
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Pin(number(2266.660)),
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Pin(number(2333.330)),
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Pin(number("2400.00")),
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Pin(number(2466.660)),
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Pin(number(2533.330)),
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Pin(number("2600.00")),
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Pin(number(2666.660)),
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Pin(number(2733.330)),
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Pin(number(2800.000)),
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Pin(number(2866.660)),
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Pin(number(2933.330)),
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},
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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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spread := tt.args.upper.Sub(tt.args.lower).Div(tt.args.size)
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pins := calculateArithmeticPins(tt.args.lower, tt.args.upper, spread, tt.args.tickSize)
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for i := 0; i < len(tt.want); i++ {
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assert.InDelta(t, fixedpoint.Value(tt.want[i]).Float64(),
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fixedpoint.Value(pins[i]).Float64(),
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0.001,
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"calculateArithmeticPins(%v, %v, %v, %v)", tt.args.lower, tt.args.upper, tt.args.size, tt.args.tickSize)
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}
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})
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}
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}
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