mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-16 03:53:52 +00:00
76 lines
2.5 KiB
Go
76 lines
2.5 KiB
Go
//go:build !dnum
|
|
|
|
package xdepthmaker
|
|
|
|
import (
|
|
"testing"
|
|
"time"
|
|
|
|
"github.com/stretchr/testify/assert"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
. "github.com/c9s/bbgo/pkg/testing/testhelper"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
func newTestBTCUSDTMarket() types.Market {
|
|
return types.Market{
|
|
BaseCurrency: "BTC",
|
|
QuoteCurrency: "USDT",
|
|
TickSize: Number(0.01),
|
|
StepSize: Number(0.000001),
|
|
PricePrecision: 2,
|
|
VolumePrecision: 8,
|
|
MinNotional: Number(8.0),
|
|
MinQuantity: Number(0.0003),
|
|
}
|
|
}
|
|
|
|
func TestStrategy_generateMakerOrders(t *testing.T) {
|
|
s := &Strategy{
|
|
Symbol: "BTCUSDT",
|
|
NumLayers: 3,
|
|
DepthScale: &bbgo.LayerScale{
|
|
LayerRule: &bbgo.SlideRule{
|
|
LinearScale: &bbgo.LinearScale{
|
|
Domain: [2]float64{1.0, 3.0},
|
|
Range: [2]float64{1000.0, 15000.0},
|
|
},
|
|
},
|
|
},
|
|
CrossExchangeMarketMakingStrategy: &CrossExchangeMarketMakingStrategy{
|
|
makerMarket: newTestBTCUSDTMarket(),
|
|
},
|
|
}
|
|
|
|
pricingBook := types.NewStreamBook("BTCUSDT")
|
|
pricingBook.Load(types.SliceOrderBook{
|
|
Symbol: "BTCUSDT",
|
|
Bids: types.PriceVolumeSlice{
|
|
{Price: Number("25000.00"), Volume: Number("0.1")},
|
|
{Price: Number("24900.00"), Volume: Number("0.2")},
|
|
{Price: Number("24800.00"), Volume: Number("0.3")},
|
|
{Price: Number("24700.00"), Volume: Number("0.4")},
|
|
},
|
|
Asks: types.PriceVolumeSlice{
|
|
{Price: Number("25100.00"), Volume: Number("0.1")},
|
|
{Price: Number("25200.00"), Volume: Number("0.2")},
|
|
{Price: Number("25300.00"), Volume: Number("0.3")},
|
|
{Price: Number("25400.00"), Volume: Number("0.4")},
|
|
},
|
|
Time: time.Now(),
|
|
})
|
|
|
|
orders, err := s.generateMakerOrders(pricingBook, 0, fixedpoint.PosInf, fixedpoint.PosInf)
|
|
assert.NoError(t, err)
|
|
AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
|
|
{Side: types.SideTypeBuy, Price: Number("25000"), Quantity: Number("0.04")}, // =~ $1000.00
|
|
{Side: types.SideTypeBuy, Price: Number("24866.66"), Quantity: Number("0.281715")}, // =~ $7005.3111219, accumulated amount =~ $1000.00 + $7005.3111219 = $8005.3111219
|
|
{Side: types.SideTypeBuy, Price: Number("24800"), Quantity: Number("0.283123")}, // =~ $7021.4504, accumulated amount =~ $1000.00 + $7005.3111219 + $7021.4504 = $8005.3111219 + $7021.4504 =~ $15026.7615219
|
|
{Side: types.SideTypeSell, Price: Number("25100"), Quantity: Number("0.03984")},
|
|
{Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.2772")},
|
|
{Side: types.SideTypeSell, Price: Number("25233.33"), Quantity: Number("0.277411")},
|
|
}, orders)
|
|
}
|