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115 lines
4.8 KiB
Go
115 lines
4.8 KiB
Go
//go:build !dnum
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package liquiditymaker
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import (
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"testing"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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. "github.com/c9s/bbgo/pkg/testing/testhelper"
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"github.com/c9s/bbgo/pkg/types"
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)
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func newTestMarket() types.Market {
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return types.Market{
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BaseCurrency: "XML",
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QuoteCurrency: "USDT",
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TickSize: Number(0.0001),
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StepSize: Number(0.01),
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PricePrecision: 4,
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VolumePrecision: 8,
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MinNotional: Number(8.0),
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MinQuantity: Number(40.0),
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}
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}
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func TestLiquidityOrderGenerator(t *testing.T) {
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g := &LiquidityOrderGenerator{
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Symbol: "XMLUSDT",
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Market: newTestMarket(),
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}
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scale := &bbgo.ExponentialScale{
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Domain: [2]float64{1.0, 30.0},
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Range: [2]float64{1.0, 4.0},
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}
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err := scale.Solve()
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assert.NoError(t, err)
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assert.InDelta(t, 1.0, scale.Call(1.0), 0.00001)
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assert.InDelta(t, 4.0, scale.Call(30.0), 0.00001)
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totalAmount := Number(20_000.0)
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t.Run("ask orders", func(t *testing.T) {
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orders := g.Generate(types.SideTypeSell, totalAmount, Number(2.0), Number(2.04), 30, scale)
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assert.Len(t, orders, 30)
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totalQuoteQuantity := fixedpoint.NewFromInt(0)
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for _, o := range orders {
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totalQuoteQuantity = totalQuoteQuantity.Add(o.Quantity.Mul(o.Price))
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}
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assert.InDelta(t, totalAmount.Float64(), totalQuoteQuantity.Float64(), 1.0)
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeSell, Price: Number("2.0000"), Quantity: Number("151.34")},
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{Side: types.SideTypeSell, Price: Number("2.0013"), Quantity: Number("158.75")},
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{Side: types.SideTypeSell, Price: Number("2.0027"), Quantity: Number("166.52")},
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{Side: types.SideTypeSell, Price: Number("2.0041"), Quantity: Number("174.67")},
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{Side: types.SideTypeSell, Price: Number("2.0055"), Quantity: Number("183.23")},
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{Side: types.SideTypeSell, Price: Number("2.0068"), Quantity: Number("192.20")},
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{Side: types.SideTypeSell, Price: Number("2.0082"), Quantity: Number("201.61")},
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{Side: types.SideTypeSell, Price: Number("2.0096"), Quantity: Number("211.48")},
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{Side: types.SideTypeSell, Price: Number("2.0110"), Quantity: Number("221.84")},
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{Side: types.SideTypeSell, Price: Number("2.0124"), Quantity: Number("232.70")},
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{Side: types.SideTypeSell, Price: Number("2.0137"), Quantity: Number("244.09")},
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{Side: types.SideTypeSell, Price: Number("2.0151"), Quantity: Number("256.04")},
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{Side: types.SideTypeSell, Price: Number("2.0165"), Quantity: Number("268.58")},
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{Side: types.SideTypeSell, Price: Number("2.0179"), Quantity: Number("281.73")},
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{Side: types.SideTypeSell, Price: Number("2.0193"), Quantity: Number("295.53")},
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}, orders[0:15])
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeSell, Price: Number("2.0386"), Quantity: Number("577.10")},
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{Side: types.SideTypeSell, Price: Number("2.0399"), Quantity: Number("605.36")},
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}, orders[28:30])
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})
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t.Run("bid orders", func(t *testing.T) {
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orders := g.Generate(types.SideTypeBuy, totalAmount, Number(2.0), Number(1.96), 30, scale)
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assert.Len(t, orders, 30)
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totalQuoteQuantity := fixedpoint.NewFromInt(0)
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for _, o := range orders {
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totalQuoteQuantity = totalQuoteQuantity.Add(o.Quantity.Mul(o.Price))
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}
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assert.InDelta(t, totalAmount.Float64(), totalQuoteQuantity.Float64(), 1.0)
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeBuy, Price: Number("2.0000"), Quantity: Number("155.13")},
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{Side: types.SideTypeBuy, Price: Number("1.9986"), Quantity: Number("162.73")},
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{Side: types.SideTypeBuy, Price: Number("1.9972"), Quantity: Number("170.70")},
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{Side: types.SideTypeBuy, Price: Number("1.9958"), Quantity: Number("179.05")},
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{Side: types.SideTypeBuy, Price: Number("1.9944"), Quantity: Number("187.82")},
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{Side: types.SideTypeBuy, Price: Number("1.9931"), Quantity: Number("197.02")},
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{Side: types.SideTypeBuy, Price: Number("1.9917"), Quantity: Number("206.67")},
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{Side: types.SideTypeBuy, Price: Number("1.9903"), Quantity: Number("216.79")},
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{Side: types.SideTypeBuy, Price: Number("1.9889"), Quantity: Number("227.40")},
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{Side: types.SideTypeBuy, Price: Number("1.9875"), Quantity: Number("238.54")},
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{Side: types.SideTypeBuy, Price: Number("1.9862"), Quantity: Number("250.22")},
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{Side: types.SideTypeBuy, Price: Number("1.9848"), Quantity: Number("262.47")},
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{Side: types.SideTypeBuy, Price: Number("1.9834"), Quantity: Number("275.32")},
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{Side: types.SideTypeBuy, Price: Number("1.9820"), Quantity: Number("288.80")},
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{Side: types.SideTypeBuy, Price: Number("1.9806"), Quantity: Number("302.94")},
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}, orders[0:15])
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AssertOrdersPriceSideQuantity(t, []PriceSideQuantityAssert{
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{Side: types.SideTypeBuy, Price: Number("1.9613"), Quantity: Number("591.58")},
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{Side: types.SideTypeBuy, Price: Number("1.9600"), Quantity: Number("620.54")},
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}, orders[28:30])
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})
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}
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