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103 lines
3.6 KiB
Go
103 lines
3.6 KiB
Go
package grid2
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import (
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"context"
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"testing"
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"time"
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"github.com/golang/mock/gomock"
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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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"github.com/c9s/bbgo/pkg/types/mocks"
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)
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func mustNewTime(v string) time.Time {
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t, err := time.Parse(time.RFC3339, v)
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if err != nil {
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panic(err)
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}
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return t
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}
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var testClosedOrderID = uint64(0)
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func newClosedLimitOrder(symbol string, side types.SideType, price, quantity fixedpoint.Value, ta ...time.Time) types.Order {
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testClosedOrderID++
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creationTime := time.Now()
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updateTime := creationTime
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if len(ta) > 0 {
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creationTime = ta[0]
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if len(ta) > 1 {
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updateTime = ta[1]
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}
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}
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return types.Order{
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SubmitOrder: 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: quantity,
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Price: price,
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},
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Exchange: types.ExchangeBinance,
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OrderID: testClosedOrderID,
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Status: types.OrderStatusFilled,
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ExecutedQuantity: quantity,
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CreationTime: types.Time(creationTime),
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UpdateTime: types.Time(updateTime),
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}
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}
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func TestProfitFixer(t *testing.T) {
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testClosedOrderID = 0
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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ctx := context.Background()
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mockHistoryService := mocks.NewMockExchangeTradeHistoryService(mockCtrl)
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mockHistoryService.EXPECT().QueryClosedOrders(gomock.Any(), "ETHUSDT", mustNewTime("2022-01-01T00:00:00Z"), mustNewTime("2022-01-07T00:00:00Z"), uint64(0)).
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Return([]types.Order{
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newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:01:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1700.0), number(0.1), mustNewTime("2022-01-01T00:01:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:01:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1900.0), number(0.1), mustNewTime("2022-01-01T00:03:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1905.0), number(0.1), mustNewTime("2022-01-01T00:03:00Z")),
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}, nil)
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mockHistoryService.EXPECT().QueryClosedOrders(gomock.Any(), "ETHUSDT", mustNewTime("2022-01-01T00:03:00Z"), mustNewTime("2022-01-07T00:00:00Z"), uint64(5)).
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Return([]types.Order{
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newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1900.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1700.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
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newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1900.0), number(0.1), mustNewTime("2022-01-01T00:08:00Z")),
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}, nil)
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mockHistoryService.EXPECT().QueryClosedOrders(gomock.Any(), "ETHUSDT", mustNewTime("2022-01-01T00:08:00Z"), mustNewTime("2022-01-07T00:00:00Z"), uint64(10)).
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Return([]types.Order{}, nil)
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grid := NewGrid(number(1000.0), number(2000.0), number(11), number(0.01))
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grid.CalculateArithmeticPins()
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since, err := time.Parse(time.RFC3339, "2022-01-01T00:00:00Z")
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assert.NoError(t, err)
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until, err := time.Parse(time.RFC3339, "2022-01-07T00:00:00Z")
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assert.NoError(t, err)
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stats := &GridProfitStats{}
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fixer := newProfitFixer(grid, "ETHUSDT", mockHistoryService)
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err = fixer.Fix(ctx, since, until, 0, stats)
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assert.NoError(t, err)
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assert.Equal(t, "40", stats.TotalQuoteProfit.String())
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assert.Equal(t, 4, stats.ArbitrageCount)
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}
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