mirror of
https://github.com/c9s/bbgo.git
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462 lines
14 KiB
Go
462 lines
14 KiB
Go
package bybit
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import (
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"fmt"
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"math"
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"strconv"
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"testing"
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"time"
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"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
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v3 "github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi/v3"
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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/stretchr/testify/assert"
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)
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func TestToGlobalMarket(t *testing.T) {
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// sample:
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//{
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// "Symbol": "BTCUSDT",
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// "BaseCoin": "BTC",
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// "QuoteCoin": "USDT",
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// "Innovation": 0,
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// "Status": "Trading",
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// "MarginTrading": "both",
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// "LotSizeFilter": {
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// "BasePrecision": 0.000001,
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// "QuotePrecision": 0.00000001,
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// "MinOrderQty": 0.000048,
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// "MaxOrderQty": 71.73956243,
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// "MinOrderAmt": 1,
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// "MaxOrderAmt": 2000000
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// },
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// "PriceFilter": {
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// "TickSize": 0.01
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// }
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//}
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inst := bybitapi.Instrument{
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Symbol: "BTCUSDT",
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BaseCoin: "BTC",
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QuoteCoin: "USDT",
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Innovation: "0",
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Status: bybitapi.StatusTrading,
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MarginTrading: "both",
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LotSizeFilter: struct {
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BasePrecision fixedpoint.Value `json:"basePrecision"`
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QuotePrecision fixedpoint.Value `json:"quotePrecision"`
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MinOrderQty fixedpoint.Value `json:"minOrderQty"`
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MaxOrderQty fixedpoint.Value `json:"maxOrderQty"`
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MinOrderAmt fixedpoint.Value `json:"minOrderAmt"`
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MaxOrderAmt fixedpoint.Value `json:"maxOrderAmt"`
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}{
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BasePrecision: fixedpoint.NewFromFloat(0.000001),
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QuotePrecision: fixedpoint.NewFromFloat(0.00000001),
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MinOrderQty: fixedpoint.NewFromFloat(0.000048),
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MaxOrderQty: fixedpoint.NewFromFloat(71.73956243),
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MinOrderAmt: fixedpoint.NewFromInt(1),
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MaxOrderAmt: fixedpoint.NewFromInt(2000000),
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},
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PriceFilter: struct {
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TickSize fixedpoint.Value `json:"tickSize"`
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}{
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TickSize: fixedpoint.NewFromFloat(0.01),
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},
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}
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exp := types.Market{
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Symbol: inst.Symbol,
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LocalSymbol: inst.Symbol,
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PricePrecision: int(math.Log10(inst.LotSizeFilter.QuotePrecision.Float64())),
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VolumePrecision: int(math.Log10(inst.LotSizeFilter.BasePrecision.Float64())),
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QuoteCurrency: inst.QuoteCoin,
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BaseCurrency: inst.BaseCoin,
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MinNotional: inst.LotSizeFilter.MinOrderAmt,
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MinAmount: inst.LotSizeFilter.MinOrderAmt,
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MinQuantity: inst.LotSizeFilter.MinOrderQty,
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MaxQuantity: inst.LotSizeFilter.MaxOrderQty,
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StepSize: inst.LotSizeFilter.BasePrecision,
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MinPrice: inst.LotSizeFilter.MinOrderAmt,
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MaxPrice: inst.LotSizeFilter.MaxOrderAmt,
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TickSize: inst.PriceFilter.TickSize,
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}
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assert.Equal(t, toGlobalMarket(inst), exp)
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}
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func TestToGlobalTicker(t *testing.T) {
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// sample
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//{
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// "symbol": "BTCUSDT",
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// "bid1Price": "28995.98",
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// "bid1Size": "4.741552",
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// "ask1Price": "28995.99",
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// "ask1Size": "0.16075",
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// "lastPrice": "28994",
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// "prevPrice24h": "29900",
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// "price24hPcnt": "-0.0303",
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// "highPrice24h": "30344.78",
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// "lowPrice24h": "28948.87",
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// "turnover24h": "184705500.13172874",
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// "volume24h": "6240.807096",
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// "usdIndexPrice": "28977.82001643"
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//}
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ticker := bybitapi.Ticker{
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Symbol: "BTCUSDT",
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Bid1Price: fixedpoint.NewFromFloat(28995.98),
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Bid1Size: fixedpoint.NewFromFloat(4.741552),
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Ask1Price: fixedpoint.NewFromFloat(28995.99),
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Ask1Size: fixedpoint.NewFromFloat(0.16075),
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LastPrice: fixedpoint.NewFromFloat(28994),
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PrevPrice24H: fixedpoint.NewFromFloat(29900),
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Price24HPcnt: fixedpoint.NewFromFloat(-0.0303),
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HighPrice24H: fixedpoint.NewFromFloat(30344.78),
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LowPrice24H: fixedpoint.NewFromFloat(28948.87),
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Turnover24H: fixedpoint.NewFromFloat(184705500.13172874),
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Volume24H: fixedpoint.NewFromFloat(6240.807096),
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UsdIndexPrice: fixedpoint.NewFromFloat(28977.82001643),
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}
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timeNow := time.Now()
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exp := types.Ticker{
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Time: timeNow,
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Volume: ticker.Volume24H,
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Last: ticker.LastPrice,
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Open: ticker.PrevPrice24H,
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High: ticker.HighPrice24H,
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Low: ticker.LowPrice24H,
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Buy: ticker.Bid1Price,
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Sell: ticker.Ask1Price,
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}
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assert.Equal(t, toGlobalTicker(ticker, timeNow), exp)
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}
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func TestToGlobalOrder(t *testing.T) {
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// sample: partialFilled
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//{
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// "OrderId": 1472539279335923200,
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// "OrderLinkId": 1690276361150,
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// "BlockTradeId": null,
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// "Symbol": "DOTUSDT",
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// "Price": 7.278,
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// "Qty": 0.8,
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// "Side": "Sell",
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// "IsLeverage": 0,
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// "PositionIdx": 0,
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// "OrderStatus": "PartiallyFilled",
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// "CancelType": "UNKNOWN",
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// "RejectReason": null,
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// "AvgPrice": 7.278,
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// "LeavesQty": 0,
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// "LeavesValue": 0,
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// "CumExecQty": 0.5,
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// "CumExecValue": 0,
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// "CumExecFee": 0,
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// "TimeInForce": "GTC",
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// "OrderType": "Limit",
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// "StopOrderType": null,
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// "OrderIv": null,
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// "TriggerPrice": 0,
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// "TakeProfit": 0,
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// "StopLoss": 0,
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// "TpTriggerBy": null,
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// "SlTriggerBy": null,
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// "TriggerDirection": 0,
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// "TriggerBy": null,
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// "LastPriceOnCreated": null,
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// "ReduceOnly": false,
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// "CloseOnTrigger": false,
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// "SmpType": "None",
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// "SmpGroup": 0,
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// "SmpOrderId": null,
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// "TpslMode": null,
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// "TpLimitPrice": null,
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// "SlLimitPrice": null,
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// "PlaceType": null,
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// "CreatedTime": "2023-07-25 17:12:41.325 +0800 CST",
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// "UpdatedTime": "2023-07-25 17:12:57.868 +0800 CST"
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//}
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timeNow := time.Now()
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openOrder := bybitapi.Order{
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OrderId: "1472539279335923200",
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OrderLinkId: "1690276361150",
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BlockTradeId: "",
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Symbol: "DOTUSDT",
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Price: fixedpoint.NewFromFloat(7.278),
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Qty: fixedpoint.NewFromFloat(0.8),
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Side: bybitapi.SideSell,
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IsLeverage: "0",
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PositionIdx: 0,
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OrderStatus: bybitapi.OrderStatusPartiallyFilled,
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CancelType: "UNKNOWN",
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RejectReason: "",
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AvgPrice: fixedpoint.NewFromFloat(7.728),
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LeavesQty: fixedpoint.NewFromFloat(0),
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LeavesValue: fixedpoint.NewFromFloat(0),
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CumExecQty: fixedpoint.NewFromFloat(0.5),
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CumExecValue: fixedpoint.NewFromFloat(0),
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CumExecFee: fixedpoint.NewFromFloat(0),
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TimeInForce: "GTC",
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OrderType: bybitapi.OrderTypeLimit,
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StopOrderType: "",
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OrderIv: "",
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TriggerPrice: fixedpoint.NewFromFloat(0),
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TakeProfit: fixedpoint.NewFromFloat(0),
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StopLoss: fixedpoint.NewFromFloat(0),
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TpTriggerBy: "",
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SlTriggerBy: "",
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TriggerDirection: 0,
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TriggerBy: "",
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LastPriceOnCreated: "",
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ReduceOnly: false,
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CloseOnTrigger: false,
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SmpType: "None",
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SmpGroup: 0,
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SmpOrderId: "",
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TpslMode: "",
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TpLimitPrice: "",
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SlLimitPrice: "",
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PlaceType: "",
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CreatedTime: types.MillisecondTimestamp(timeNow),
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UpdatedTime: types.MillisecondTimestamp(timeNow),
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}
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side, err := toGlobalSideType(openOrder.Side)
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assert.NoError(t, err)
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orderType, err := toGlobalOrderType(openOrder.OrderType)
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assert.NoError(t, err)
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tif, err := toGlobalTimeInForce(openOrder.TimeInForce)
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assert.NoError(t, err)
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status, err := toGlobalOrderStatus(openOrder.OrderStatus)
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assert.NoError(t, err)
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working, err := isWorking(openOrder.OrderStatus)
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assert.NoError(t, err)
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orderIdNum, err := strconv.ParseUint(openOrder.OrderId, 10, 64)
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assert.NoError(t, err)
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exp := types.Order{
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SubmitOrder: types.SubmitOrder{
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ClientOrderID: openOrder.OrderLinkId,
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Symbol: openOrder.Symbol,
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Side: side,
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Type: orderType,
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Quantity: openOrder.Qty,
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Price: openOrder.Price,
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TimeInForce: tif,
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},
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Exchange: types.ExchangeBybit,
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OrderID: orderIdNum,
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UUID: openOrder.OrderId,
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Status: status,
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ExecutedQuantity: openOrder.CumExecQty,
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IsWorking: working,
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CreationTime: types.Time(timeNow),
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UpdateTime: types.Time(timeNow),
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IsFutures: false,
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IsMargin: false,
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IsIsolated: false,
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}
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res, err := toGlobalOrder(openOrder)
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assert.NoError(t, err)
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assert.Equal(t, res, &exp)
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}
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func TestToGlobalSideType(t *testing.T) {
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res, err := toGlobalSideType(bybitapi.SideBuy)
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assert.NoError(t, err)
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assert.Equal(t, types.SideTypeBuy, res)
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res, err = toGlobalSideType(bybitapi.SideSell)
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assert.NoError(t, err)
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assert.Equal(t, types.SideTypeSell, res)
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res, err = toGlobalSideType("GG")
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assert.Error(t, err)
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}
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func TestToGlobalOrderType(t *testing.T) {
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res, err := toGlobalOrderType(bybitapi.OrderTypeMarket)
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assert.NoError(t, err)
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assert.Equal(t, types.OrderTypeMarket, res)
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res, err = toGlobalOrderType(bybitapi.OrderTypeLimit)
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assert.NoError(t, err)
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assert.Equal(t, types.OrderTypeLimit, res)
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res, err = toGlobalOrderType("GG")
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assert.Error(t, err)
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}
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func TestToGlobalTimeInForce(t *testing.T) {
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res, err := toGlobalTimeInForce(bybitapi.TimeInForceGTC)
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assert.NoError(t, err)
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assert.Equal(t, types.TimeInForceGTC, res)
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res, err = toGlobalTimeInForce(bybitapi.TimeInForceIOC)
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assert.NoError(t, err)
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assert.Equal(t, types.TimeInForceIOC, res)
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res, err = toGlobalTimeInForce(bybitapi.TimeInForceFOK)
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assert.NoError(t, err)
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assert.Equal(t, types.TimeInForceFOK, res)
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res, err = toGlobalTimeInForce("GG")
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assert.Error(t, err)
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}
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func TestToGlobalOrderStatus(t *testing.T) {
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t.Run("New", func(t *testing.T) {
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res, err := toGlobalOrderStatus(bybitapi.OrderStatusNew)
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assert.NoError(t, err)
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assert.Equal(t, types.OrderStatusNew, res)
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res, err = toGlobalOrderStatus(bybitapi.OrderStatusActive)
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assert.NoError(t, err)
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assert.Equal(t, types.OrderStatusNew, res)
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})
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t.Run("Filled", func(t *testing.T) {
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res, err := toGlobalOrderStatus(bybitapi.OrderStatusFilled)
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assert.NoError(t, err)
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assert.Equal(t, types.OrderStatusFilled, res)
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})
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t.Run("PartiallyFilled", func(t *testing.T) {
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res, err := toGlobalOrderStatus(bybitapi.OrderStatusPartiallyFilled)
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assert.NoError(t, err)
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assert.Equal(t, types.OrderStatusPartiallyFilled, res)
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})
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t.Run("OrderStatusCanceled", func(t *testing.T) {
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res, err := toGlobalOrderStatus(bybitapi.OrderStatusCancelled)
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assert.NoError(t, err)
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assert.Equal(t, types.OrderStatusCanceled, res)
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res, err = toGlobalOrderStatus(bybitapi.OrderStatusPartiallyFilledCanceled)
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assert.NoError(t, err)
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assert.Equal(t, types.OrderStatusCanceled, res)
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res, err = toGlobalOrderStatus(bybitapi.OrderStatusDeactivated)
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assert.NoError(t, err)
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assert.Equal(t, types.OrderStatusCanceled, res)
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})
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t.Run("OrderStatusRejected", func(t *testing.T) {
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res, err := toGlobalOrderStatus(bybitapi.OrderStatusRejected)
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assert.NoError(t, err)
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assert.Equal(t, types.OrderStatusRejected, res)
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})
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}
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func TestIsWorking(t *testing.T) {
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for _, s := range bybitapi.AllOrderStatuses {
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res, err := isWorking(s)
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assert.NoError(t, err)
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if res {
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gos, err := toGlobalOrderStatus(s)
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assert.NoError(t, err)
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assert.True(t, gos == types.OrderStatusNew || gos == types.OrderStatusPartiallyFilled)
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}
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}
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}
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func Test_toLocalOrderType(t *testing.T) {
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orderType, err := toLocalOrderType(types.OrderTypeLimit)
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assert.NoError(t, err)
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assert.Equal(t, bybitapi.OrderTypeLimit, orderType)
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orderType, err = toLocalOrderType(types.OrderTypeMarket)
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assert.NoError(t, err)
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assert.Equal(t, bybitapi.OrderTypeMarket, orderType)
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orderType, err = toLocalOrderType("wrong type")
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assert.Equal(t, fmt.Errorf("order type wrong type not supported"), err)
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assert.Equal(t, bybitapi.OrderType(""), orderType)
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}
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func Test_toLocalSide(t *testing.T) {
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side, err := toLocalSide(types.SideTypeSell)
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assert.NoError(t, err)
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assert.Equal(t, bybitapi.SideSell, side)
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side, err = toLocalSide(types.SideTypeBuy)
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assert.NoError(t, err)
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assert.Equal(t, bybitapi.SideBuy, side)
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side, err = toLocalSide("wrong side")
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assert.Equal(t, fmt.Errorf("side type %s not supported", "wrong side"), err)
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assert.Equal(t, bybitapi.Side(""), side)
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}
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func Test_toGlobalTrade(t *testing.T) {
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/* sample: trade
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{
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"Symbol":"BTCUSDT",
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"Id":"1474200510090276864",
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"OrderId":"1474200270671015936",
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"TradeId":"2100000000031181772",
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"OrderPrice":"27628",
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"OrderQty":"0.007959",
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"ExecFee":"0.21989125",
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"FeeTokenId":"USDT",
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"CreatTime":"2023-07-28 00:13:15.457 +0800 CST",
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"IsBuyer":"1",
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"IsMaker":"0",
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"MatchOrderId":"5760912963729109504",
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"MakerRebate":"0",
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"ExecutionTime":"2023-07-28 00:13:15.463 +0800 CST",
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"BlockTradeId": "",
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}
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*/
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timeNow := time.Now()
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trade := v3.Trade{
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Symbol: "DOTUSDT",
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Id: "1474200510090276864",
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OrderId: "1474200270671015936",
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TradeId: "2100000000031181772",
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OrderPrice: fixedpoint.NewFromFloat(27628),
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OrderQty: fixedpoint.NewFromFloat(0.007959),
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ExecFee: fixedpoint.NewFromFloat(0.21989125),
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FeeTokenId: "USDT",
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CreatTime: types.MillisecondTimestamp(timeNow),
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IsBuyer: "0",
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IsMaker: "0",
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MatchOrderId: "5760912963729109504",
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MakerRebate: fixedpoint.NewFromFloat(0),
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ExecutionTime: types.MillisecondTimestamp(timeNow),
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BlockTradeId: "",
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}
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s, err := toV3Buyer(trade.IsBuyer)
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assert.NoError(t, err)
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m, err := toV3Maker(trade.IsMaker)
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assert.NoError(t, err)
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orderIdNum, err := strconv.ParseUint(trade.OrderId, 10, 64)
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assert.NoError(t, err)
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tradeId, err := strconv.ParseUint(trade.TradeId, 10, 64)
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assert.NoError(t, err)
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exp := types.Trade{
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ID: tradeId,
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OrderID: orderIdNum,
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Exchange: types.ExchangeBybit,
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Price: trade.OrderPrice,
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Quantity: trade.OrderQty,
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QuoteQuantity: trade.OrderPrice.Mul(trade.OrderQty),
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Symbol: trade.Symbol,
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Side: s,
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IsBuyer: s == types.SideTypeBuy,
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IsMaker: m,
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Time: types.Time(timeNow),
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Fee: trade.ExecFee,
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FeeCurrency: trade.FeeTokenId,
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IsMargin: false,
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IsFutures: false,
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IsIsolated: false,
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}
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res, err := v3ToGlobalTrade(trade)
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assert.NoError(t, err)
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assert.Equal(t, res, &exp)
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}
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