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75 lines
2.1 KiB
Go
75 lines
2.1 KiB
Go
package indicator
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import (
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"encoding/json"
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"math"
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"testing"
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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_calculateVWAP(t *testing.T) {
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var trivialPrices = []byte(`[0]`)
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var trivialVolumes = []byte(`[1]`)
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var easyPrices = []byte(`[1, 2, 3]`)
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var easyVolumes = []byte(`[4, 5, 6]`)
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var windowPrices = []byte(`[1, 2, 3, 4]`)
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var windowVolumes = []byte(`[4, 5, 6, 7]`)
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var randomPrices = []byte(`[0.6046702879796195, 0.9405190880450124, 0.6645700532184904, 0.4377241871869802, 0.4246474970712657, 0.6868330728671094, 0.06564701921747622, 0.15652925473279125, 0.09697951891448456, 0.3009218605852871]`)
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var randomVolumes = []byte(`[0.5152226285020653, 0.8136499609900968, 0.21427387258237493, 0.380667189299686, 0.31806817433032986, 0.4688998449024232, 0.2830441511804452, 0.2931118573368158, 0.6790946759202162, 0.2185630525927643]`)
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buildKLines := func(pb, vb []byte) (kLines []types.KLine) {
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var prices, volumes []fixedpoint.Value
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_ = json.Unmarshal(pb, &prices)
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_ = json.Unmarshal(vb, &volumes)
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for i, p := range prices {
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kLines = append(kLines, types.KLine{High: p, Low: p, Close: p, Volume: volumes[i]})
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}
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return kLines
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}
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tests := []struct {
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name string
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kLines []types.KLine
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window int
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want float64
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}{
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{
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name: "trivial_case",
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kLines: buildKLines(trivialPrices, trivialVolumes),
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window: 0,
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want: 0.0,
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},
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{
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name: "easy_case",
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kLines: buildKLines(easyPrices, easyVolumes),
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window: 0,
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want: (1*4 + 2*5 + 3*6) / float64(4+5+6),
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},
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{
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name: "window_case",
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kLines: buildKLines(windowPrices, windowVolumes),
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window: 3,
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want: (2*5 + 3*6 + 4*7) / float64(5+6+7),
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},
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{
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name: "random_case",
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kLines: buildKLines(randomPrices, randomVolumes),
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window: 0,
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want: 0.48727133857423566,
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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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priceF := KLineTypicalPriceMapper
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got := CalculateVWAP(tt.kLines, priceF, tt.window)
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diff := math.Trunc((got-tt.want)*100) / 100
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if diff != 0 {
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t.Errorf("calculateVWAP() = %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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