bbgo_origin/pkg/strategy/grid2/strategy_test.go

175 lines
5.2 KiB
Go

//go:build !dnum
package grid2
import (
"testing"
"github.com/sirupsen/logrus"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/types"
)
func TestStrategy_checkRequiredInvestmentByQuantity(t *testing.T) {
s := &Strategy{
logger: logrus.NewEntry(logrus.New()),
Market: types.Market{
BaseCurrency: "BTC",
QuoteCurrency: "USDT",
},
}
t.Run("quote to base balance conversion check", func(t *testing.T) {
_, requiredQuote, err := s.checkRequiredInvestmentByQuantity(number(0.0), number(10_000.0), number(0.1), number(13_500.0), []Pin{
Pin(number(10_000.0)), // 0.1 * 10_000 = 1000 USD (buy)
Pin(number(11_000.0)), // 0.1 * 11_000 = 1100 USD (buy)
Pin(number(12_000.0)), // 0.1 * 12_000 = 1200 USD (buy)
Pin(number(13_000.0)), // 0.1 * 13_000 = 1300 USD (buy)
Pin(number(14_000.0)), // 0.1 * 14_000 = 1400 USD (buy)
Pin(number(15_000.0)), // 0.1 * 15_000 = 1500 USD
})
assert.NoError(t, err)
assert.Equal(t, number(6000.0), requiredQuote)
})
t.Run("quote to base balance conversion not enough", func(t *testing.T) {
_, requiredQuote, err := s.checkRequiredInvestmentByQuantity(number(0.0), number(5_000.0), number(0.1), number(13_500.0), []Pin{
Pin(number(10_000.0)), // 0.1 * 10_000 = 1000 USD (buy)
Pin(number(11_000.0)), // 0.1 * 11_000 = 1100 USD (buy)
Pin(number(12_000.0)), // 0.1 * 12_000 = 1200 USD (buy)
Pin(number(13_000.0)), // 0.1 * 13_000 = 1300 USD (buy)
Pin(number(14_000.0)), // 0.1 * 14_000 = 1400 USD (buy)
Pin(number(15_000.0)), // 0.1 * 15_000 = 1500 USD
})
assert.EqualError(t, err, "quote balance (5000.000000 USDT) is not enough, required = quote 6000.000000")
assert.Equal(t, number(6000.0), requiredQuote)
})
}
func TestStrategy_checkRequiredInvestmentByAmount(t *testing.T) {
s := &Strategy{
logger: logrus.NewEntry(logrus.New()),
Market: types.Market{
BaseCurrency: "BTC",
QuoteCurrency: "USDT",
},
}
t.Run("quote to base balance conversion", func(t *testing.T) {
_, requiredQuote, err := s.checkRequiredInvestmentByAmount(
number(0.0), number(3_000.0),
number(1000.0),
number(13_500.0), []Pin{
Pin(number(10_000.0)),
Pin(number(11_000.0)),
Pin(number(12_000.0)),
Pin(number(13_000.0)),
Pin(number(14_000.0)),
Pin(number(15_000.0)),
})
assert.EqualError(t, err, "quote balance (3000.000000 USDT) is not enough, required = quote 4999.999890")
assert.InDelta(t, 4999.99989, requiredQuote.Float64(), number(0.001).Float64())
})
}
func TestStrategy_calculateQuoteInvestmentQuantity(t *testing.T) {
s := &Strategy{
logger: logrus.NewEntry(logrus.New()),
Market: types.Market{
BaseCurrency: "BTC",
QuoteCurrency: "USDT",
},
}
t.Run("calculate quote quantity from quote investment", func(t *testing.T) {
// quoteInvestment = (10,000 + 11,000 + 12,000 + 13,000 + 14,000) * q
// q = quoteInvestment / (10,000 + 11,000 + 12,000 + 13,000 + 14,000)
// q = 12_000 / (10,000 + 11,000 + 12,000 + 13,000 + 14,000)
// q = 0.2
quantity, err := s.calculateQuoteInvestmentQuantity(number(12_000.0), number(13_500.0), []Pin{
Pin(number(10_000.0)), // buy
Pin(number(11_000.0)), // buy
Pin(number(12_000.0)), // buy
Pin(number(13_000.0)), // buy
Pin(number(14_000.0)), // buy
Pin(number(15_000.0)),
})
assert.NoError(t, err)
assert.Equal(t, number(0.2).String(), quantity.String())
})
}
func newTestStrategy() *Strategy {
market := types.Market{
BaseCurrency: "BTC",
QuoteCurrency: "USDT",
}
s := &Strategy{
logger: logrus.NewEntry(logrus.New()),
Market: market,
GridProfitStats: newGridProfitStats(market),
UpperPrice: number(20_000),
LowerPrice: number(10_000),
GridNum: 10,
}
return s
}
func TestStrategy_calculateProfit(t *testing.T) {
t.Run("earn quote without compound", func(t *testing.T) {
s := newTestStrategy()
profit := s.calculateProfit(types.Order{
SubmitOrder: types.SubmitOrder{
Price: number(13_000),
Quantity: number(1.0),
},
}, number(12_000), number(1.0))
assert.NotNil(t, profit)
assert.Equal(t, "USDT", profit.Currency)
assert.InDelta(t, 1000.0, profit.Profit.Float64(), 0.1)
})
t.Run("earn quote with compound", func(t *testing.T) {
s := newTestStrategy()
s.Compound = true
profit := s.calculateProfit(types.Order{
SubmitOrder: types.SubmitOrder{
Price: number(13_000),
Quantity: number(1.0),
},
}, number(12_000), number(1.0))
assert.NotNil(t, profit)
assert.Equal(t, "USDT", profit.Currency)
assert.InDelta(t, 1000.0, profit.Profit.Float64(), 0.1)
})
t.Run("earn base without compound", func(t *testing.T) {
s := newTestStrategy()
s.EarnBase = true
s.Compound = false
quoteQuantity := number(12_000).Mul(number(1.0))
sellQuantity := quoteQuantity.Div(number(13_000.0))
buyOrder := types.SubmitOrder{
Price: number(12_000.0),
Quantity: number(1.0),
}
profit := s.calculateProfit(types.Order{
SubmitOrder: types.SubmitOrder{
Price: number(13_000.0),
Quantity: sellQuantity,
},
}, buyOrder.Price, buyOrder.Quantity)
assert.NotNil(t, profit)
assert.Equal(t, "BTC", profit.Currency)
assert.InDelta(t, sellQuantity.Float64()-buyOrder.Quantity.Float64(), profit.Profit.Float64(), 0.001)
})
}