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8995ce2824
bbgo_origin/pkg/exchange/binance/parse_test.go
austin362667 d691bfa106 binance: add futures parser
2021-12-28 06:26:27 +08:00

411 lines
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package binance
import (
"regexp"
"testing"
"github.com/stretchr/testify/assert"
)
var jsCommentTrimmer = regexp.MustCompile("(?m)//.*$")
func TestMarginResponseParsing(t *testing.T) {
type testcase struct {
input string
}
var testcases = []testcase{
{
input: `{
"e": "executionReport",
"E": 1608545107403,
"s": "BNBUSDT",
"c": "ios_0de017ca7ceb4102b3baa664feb46e65",
"S": "BUY",
"o": "MARKET",
"f": "GTC",
"q": "0.50000000",
"p": "0.00000000",
"P": "0.00000000",
"F": "0.00000000",
"g": -1,
"C": "",
"x": "NEW",
"X": "NEW",
"r": "NONE",
"i": 1147335332,
"l": "0.00000000",
"z": "0.00000000",
"L": "0.00000000",
"n": "0",
"N": null,
"T": 1608545107401,
"t": -1,
"I": 2387303818,
"w": true,
"m": false,
"M": false,
"O": 1608545107401,
"Z": "0.00000000",
"Y": "0.00000000",
"Q": "0.00000000"
}`,
},
{
input: `{
"e": "executionReport",
"E": 1608545107403,
"s": "BNBUSDT",
"c": "ios_0de017ca7ceb4102b3baa664feb46e65",
"S": "BUY",
"o": "MARKET",
"f": "GTC",
"q": "0.50000000",
"p": "0.00000000",
"P": "0.00000000",
"F": "0.00000000",
"g": -1,
"C": "",
"x": "TRADE",
"X": "FILLED",
"r": "NONE",
"i": 1147335332,
"l": "0.50000000",
"z": "0.50000000",
"L": "33.85710000",
"n": "0.00037500",
"N": "BNB",
"T": 1608545107401,
"t": 98414801,
"I": 2387303819,
"w": false,
"m": false,
"M": true,
"O": 1608545107401,
"Z": "16.92855000",
"Y": "16.92855000",
"Q": "0.00000000"
}`,
},
{
input: `{
"e": "outboundAccountInfo",
"E": 1608545107403,
"m": 9,
"t": 10,
"b": 0,
"s": 0,
"T": true,
"W": true,
"D": true,
"u": 1608545107401,
"B": [
{
"a": "BNB",
"f": "89.99345616",
"l": "12.00000000"
},
{
"a": "USDT",
"f": "0.16410063",
"l": "0.00000000"
}
],
"P": []
}`,
},
{
input: `{
"e":"outboundAccountPosition",
"E":1608545107403,
"u":1608545107401,
"B":[{"a":"BNB","f":"89.99345616","l":"12.00000000"},{"a":"USDT","f":"0.16410063","l":"0.00000000"}]
}`,
},
}
for _, testcase := range testcases {
payload := testcase.input
payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
event, err := ParseEvent(payload)
assert.NoError(t, err)
assert.NotNil(t, event)
}
}
func TestParseOrderUpdate(t *testing.T) {
payload := `{
"e": "executionReport", // Event type
"E": 1499405658658, // Event time
"s": "ETHBTC", // Symbol
"c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID
"S": "BUY", // Side
"o": "LIMIT", // Order type
"f": "GTC", // Time in force
"q": "1.00000000", // Order quantity
"p": "0.10264410", // Order price
"P": "0.222", // Stop price
"F": "0.00000000", // Iceberg quantity
"g": -1, // OrderListId
"C": null, // Original client order ID; This is the ID of the order being canceled
"x": "NEW", // Current execution type
"X": "NEW", // Current order status
"r": "NONE", // Order reject reason; will be an error code.
"i": 4293153, // Order ID
"l": "0.00000000", // Last executed quantity
"z": "0.00000000", // Cumulative filled quantity
"L": "0.00000001", // Last executed price
"n": "0", // Commission amount
"N": null, // Commission asset
"T": 1499405658657, // Transaction time
"t": -1, // Trade ID
"I": 8641984, // Ignore
"w": true, // Is the order on the book?
"m": false, // Is this trade the maker side?
"M": true, // Ignore
"O": 1499405658657, // Order creation time
"Z": "0.1", // Cumulative quote asset transacted quantity
"Y": "0.00000000", // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
"Q": "2.0" // Quote Order Qty
}`
payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
event, err := ParseEvent(payload)
assert.NoError(t, err)
assert.NotNil(t, event)
executionReport, ok := event.(*ExecutionReportEvent)
assert.True(t, ok)
assert.NotNil(t, executionReport)
assert.Equal(t, executionReport.Symbol, "ETHBTC")
assert.Equal(t, executionReport.Side, "BUY")
assert.Equal(t, executionReport.ClientOrderID, "mUvoqJxFIILMdfAW5iGSOW")
assert.Equal(t, executionReport.OriginalClientOrderID, "")
assert.Equal(t, executionReport.OrderType, "LIMIT")
assert.Equal(t, executionReport.OrderCreationTime, int64(1499405658657))
assert.Equal(t, executionReport.TimeInForce, "GTC")
assert.Equal(t, executionReport.IcebergQuantity, "0.00000000")
assert.Equal(t, executionReport.OrderQuantity, "1.00000000")
assert.Equal(t, executionReport.QuoteOrderQuantity, "2.0")
assert.Equal(t, executionReport.OrderPrice, "0.10264410")
assert.Equal(t, executionReport.StopPrice, "0.222")
assert.Equal(t, executionReport.IsOnBook, true)
assert.Equal(t, executionReport.IsMaker, false)
assert.Equal(t, executionReport.Ignore, true)
assert.Equal(t, executionReport.CommissionAmount, "0")
assert.Equal(t, executionReport.CommissionAsset, "")
assert.Equal(t, executionReport.CurrentExecutionType, "NEW")
assert.Equal(t, executionReport.CurrentOrderStatus, "NEW")
assert.Equal(t, executionReport.OrderID, int64(4293153))
assert.Equal(t, executionReport.Ignored, int64(8641984))
assert.Equal(t, executionReport.TradeID, int64(-1))
assert.Equal(t, executionReport.TransactionTime, int64(1499405658657))
assert.Equal(t, executionReport.LastExecutedQuantity, "0.00000000")
assert.Equal(t, executionReport.LastExecutedPrice, "0.00000001")
assert.Equal(t, executionReport.CumulativeFilledQuantity, "0.00000000")
assert.Equal(t, executionReport.CumulativeQuoteAssetTransactedQuantity, "0.1")
assert.Equal(t, executionReport.LastQuoteAssetTransactedQuantity, "0.00000000")
orderUpdate, err := executionReport.Order()
assert.NoError(t, err)
assert.NotNil(t, orderUpdate)
}
func TestFuturesResponseParsing(t *testing.T) {
type testcase struct {
input string
}
var testcases = []testcase{
{
input: `{
"e": "ORDER_TRADE_UPDATE",
"T": 1639933384755,
"E": 1639933384763,
"o": {
"s": "BTCUSDT",
"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
"S": "SELL",
"o": "MARKET",
"f": "GTC",
"q": "0.001",
"p": "0",
"ap": "0",
"sp": "0",
"x": "NEW",
"X": "NEW",
"i": 38541728873,
"l": "0",
"z": "0",
"L": "0",
"T": 1639933384755,
"t": 0,
"b": "0",
"a": "0",
"m": false,
"R": false,
"wt": "CONTRACT_PRICE",
"ot": "MARKET",
"ps": "BOTH",
"cp": false,
"rp": "0",
"pP": false,
"si": 0,
"ss": 0
}
}`,
},
{
input: `{
"e": "ACCOUNT_UPDATE",
"T": 1639933384755,
"E": 1639933384763,
"a": {
"B": [
{
"a": "USDT",
"wb": "86.94966888",
"cw": "86.94966888",
"bc": "0"
}
],
"P": [
{
"s": "BTCUSDT",
"pa": "-0.001",
"ep": "47202.40000",
"cr": "7.78107001",
"up": "-0.00233523",
"mt": "cross",
"iw": "0",
"ps": "BOTH",
"ma": "USDT"
}
],
"m": "ORDER"
}
}`,
},
{
input: `{
"e": "ORDER_TRADE_UPDATE",
"T": 1639933384755,
"E": 1639933384763,
"o": {
"s": "BTCUSDT",
"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
"S": "SELL",
"o": "MARKET",
"f": "GTC",
"q": "0.001",
"p": "0",
"ap": "47202.40000",
"sp": "0",
"x": "TRADE",
"X": "FILLED",
"i": 38541728873,
"l": "0.001",
"z": "0.001",
"L": "47202.40",
"n": "0.01888095",
"N": "USDT",
"T": 1639933384755,
"t": 1741505949,
"b": "0",
"a": "0",
"m": false,
"R": false,
"wt": "CONTRACT_PRICE",
"ot": "MARKET",
"ps": "BOTH",
"cp": false,
"rp": "0",
"pP": false,
"si": 0,
"ss": 0
}
}`,
},
}
for _, testcase := range testcases {
payload := testcase.input
payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
event, err := ParseEvent(payload)
assert.NoError(t, err)
assert.NotNil(t, event)
}
}
func TestParseOrderFuturesUpdate(t *testing.T) {
payload := `{
"e": "ORDER_TRADE_UPDATE",
"T": 1639933384755,
"E": 1639933384763,
"o": {
"s": "BTCUSDT",
"c": "x-NSUYEBKMe60cf610-f5c7-49a4-9c1",
"S": "SELL",
"o": "MARKET",
"f": "GTC",
"q": "0.001",
"p": "0",
"ap": "47202.40000",
"sp": "0",
"x": "TRADE",
"X": "FILLED",
"i": 38541728873,
"l": "0.001",
"z": "0.001",
"L": "47202.40",
"n": "0.01888095",
"N": "USDT",
"T": 1639933384755,
"t": 1741505949,
"b": "0",
"a": "0",
"m": false,
"R": false,
"wt": "CONTRACT_PRICE",
"ot": "MARKET",
"ps": "BOTH",
"cp": false,
"rp": "0",
"pP": false,
"si": 0,
"ss": 0
}
}`
payload = jsCommentTrimmer.ReplaceAllLiteralString(payload, "")
event, err := ParseEvent(payload)
assert.NoError(t, err)
assert.NotNil(t, event)
orderTradeEvent, ok := event.(*OrderTradeUpdateEvent)
assert.True(t, ok)
assert.NotNil(t, orderTradeEvent)
assert.Equal(t, orderTradeEvent.OrderTrade.Symbol, "BTCUSDT")
assert.Equal(t, orderTradeEvent.OrderTrade.Side, "SELL")
assert.Equal(t, orderTradeEvent.OrderTrade.ClientOrderID, "x-NSUYEBKMe60cf610-f5c7-49a4-9c1")
assert.Equal(t, orderTradeEvent.OrderTrade.OrderType, "MARKET")
assert.Equal(t, orderTradeEvent.Time, int64(1639933384763))
assert.Equal(t, orderTradeEvent.OrderTrade.OrderTradeTime, int64(1639933384755))
assert.Equal(t, orderTradeEvent.OrderTrade.OriginalQuantity, "0.001")
assert.Equal(t, orderTradeEvent.OrderTrade.OrderLastFilledQuantity, "0.001")
assert.Equal(t, orderTradeEvent.OrderTrade.OrderFilledAccumulatedQuantity, "0.001")
assert.Equal(t, orderTradeEvent.OrderTrade.CurrentExecutionType, "TRADE")
assert.Equal(t, orderTradeEvent.OrderTrade.CurrentOrderStatus, "FILLED")
assert.Equal(t, orderTradeEvent.OrderTrade.LastFilledPrice, "47202.40")
assert.Equal(t, orderTradeEvent.OrderTrade.OrderId, int64(38541728873))
assert.Equal(t, orderTradeEvent.OrderTrade.TradeId, int64(1741505949))
orderUpdate, err := orderTradeEvent.OrderFutures()
assert.NoError(t, err)
assert.NotNil(t, orderUpdate)
}
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