mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
304 lines
8.9 KiB
Go
304 lines
8.9 KiB
Go
package bbgo
|
|
|
|
import (
|
|
"context"
|
|
"testing"
|
|
"time"
|
|
|
|
"github.com/golang/mock/gomock"
|
|
"github.com/stretchr/testify/assert"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
"github.com/c9s/bbgo/pkg/types/mocks"
|
|
)
|
|
|
|
func newTestTicker() types.Ticker {
|
|
return types.Ticker{
|
|
Time: time.Now(),
|
|
Volume: fixedpoint.Zero,
|
|
Last: fixedpoint.NewFromFloat(19000.0),
|
|
Open: fixedpoint.NewFromFloat(19500.0),
|
|
High: fixedpoint.NewFromFloat(19900.0),
|
|
Low: fixedpoint.NewFromFloat(18800.0),
|
|
Buy: fixedpoint.NewFromFloat(19500.0),
|
|
Sell: fixedpoint.NewFromFloat(18900.0),
|
|
}
|
|
}
|
|
|
|
func TestAccountValueCalculator_NetValue(t *testing.T) {
|
|
|
|
t.Run("borrow and available", func(t *testing.T) {
|
|
mockCtrl := gomock.NewController(t)
|
|
defer mockCtrl.Finish()
|
|
|
|
mockEx := mocks.NewMockExchange(mockCtrl)
|
|
// for market data stream and user data stream
|
|
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
|
|
mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
|
|
"BTCUSDT": newTestTicker(),
|
|
}, nil)
|
|
|
|
session := NewExchangeSession("test", mockEx)
|
|
session.Account.UpdateBalances(types.BalanceMap{
|
|
"BTC": {
|
|
Currency: "BTC",
|
|
Available: fixedpoint.NewFromFloat(2.0),
|
|
Locked: fixedpoint.Zero,
|
|
Borrowed: fixedpoint.NewFromFloat(1.0),
|
|
Interest: fixedpoint.Zero,
|
|
NetAsset: fixedpoint.Zero,
|
|
},
|
|
"USDT": {
|
|
Currency: "USDT",
|
|
Available: fixedpoint.NewFromFloat(1000.0),
|
|
Locked: fixedpoint.Zero,
|
|
Borrowed: fixedpoint.Zero,
|
|
Interest: fixedpoint.Zero,
|
|
NetAsset: fixedpoint.Zero,
|
|
},
|
|
})
|
|
assert.NotNil(t, session)
|
|
|
|
cal := NewAccountValueCalculator(session, "USDT")
|
|
assert.NotNil(t, cal)
|
|
|
|
ctx := context.Background()
|
|
netValue, err := cal.NetValue(ctx)
|
|
assert.NoError(t, err)
|
|
assert.Equal(t, "20000", netValue.String())
|
|
})
|
|
|
|
t.Run("borrowed and sold", func(t *testing.T) {
|
|
mockCtrl := gomock.NewController(t)
|
|
defer mockCtrl.Finish()
|
|
|
|
mockEx := mocks.NewMockExchange(mockCtrl)
|
|
// for market data stream and user data stream
|
|
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
|
|
mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
|
|
"BTCUSDT": newTestTicker(),
|
|
}, nil)
|
|
|
|
session := NewExchangeSession("test", mockEx)
|
|
session.Account.UpdateBalances(types.BalanceMap{
|
|
"BTC": {
|
|
Currency: "BTC",
|
|
Available: fixedpoint.Zero,
|
|
Locked: fixedpoint.Zero,
|
|
Borrowed: fixedpoint.NewFromFloat(1.0),
|
|
Interest: fixedpoint.Zero,
|
|
NetAsset: fixedpoint.Zero,
|
|
},
|
|
"USDT": {
|
|
Currency: "USDT",
|
|
Available: fixedpoint.NewFromFloat(21000.0),
|
|
Locked: fixedpoint.Zero,
|
|
Borrowed: fixedpoint.Zero,
|
|
Interest: fixedpoint.Zero,
|
|
NetAsset: fixedpoint.Zero,
|
|
},
|
|
})
|
|
assert.NotNil(t, session)
|
|
|
|
cal := NewAccountValueCalculator(session, "USDT")
|
|
assert.NotNil(t, cal)
|
|
|
|
ctx := context.Background()
|
|
netValue, err := cal.NetValue(ctx)
|
|
assert.NoError(t, err)
|
|
assert.Equal(t, "2000", netValue.String()) // 21000-19000
|
|
})
|
|
}
|
|
|
|
func TestNewAccountValueCalculator_MarginLevel(t *testing.T) {
|
|
mockCtrl := gomock.NewController(t)
|
|
defer mockCtrl.Finish()
|
|
|
|
mockEx := mocks.NewMockExchange(mockCtrl)
|
|
// for market data stream and user data stream
|
|
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
|
|
mockEx.EXPECT().QueryTickers(gomock.Any(), []string{"BTCUSDT"}).Return(map[string]types.Ticker{
|
|
"BTCUSDT": newTestTicker(),
|
|
}, nil)
|
|
|
|
session := NewExchangeSession("test", mockEx)
|
|
session.Account.UpdateBalances(types.BalanceMap{
|
|
"BTC": {
|
|
Currency: "BTC",
|
|
Available: fixedpoint.Zero,
|
|
Locked: fixedpoint.Zero,
|
|
Borrowed: fixedpoint.NewFromFloat(1.0),
|
|
Interest: fixedpoint.NewFromFloat(0.003),
|
|
NetAsset: fixedpoint.Zero,
|
|
},
|
|
"USDT": {
|
|
Currency: "USDT",
|
|
Available: fixedpoint.NewFromFloat(21000.0),
|
|
Locked: fixedpoint.Zero,
|
|
Borrowed: fixedpoint.Zero,
|
|
Interest: fixedpoint.Zero,
|
|
NetAsset: fixedpoint.Zero,
|
|
},
|
|
})
|
|
assert.NotNil(t, session)
|
|
|
|
cal := NewAccountValueCalculator(session, "USDT")
|
|
assert.NotNil(t, cal)
|
|
|
|
ctx := context.Background()
|
|
marginLevel, err := cal.MarginLevel(ctx)
|
|
assert.NoError(t, err)
|
|
|
|
// expected (21000 / 19000 * 1.003)
|
|
assert.Equal(t,
|
|
fixedpoint.NewFromFloat(21000.0).Div(fixedpoint.NewFromFloat(19000.0).Mul(fixedpoint.NewFromFloat(1.003))).FormatString(6),
|
|
marginLevel.FormatString(6))
|
|
}
|
|
|
|
func number(n float64) fixedpoint.Value {
|
|
return fixedpoint.NewFromFloat(n)
|
|
}
|
|
|
|
func Test_aggregateUsdValue(t *testing.T) {
|
|
type args struct {
|
|
balances types.BalanceMap
|
|
}
|
|
tests := []struct {
|
|
name string
|
|
args args
|
|
want fixedpoint.Value
|
|
}{
|
|
{
|
|
name: "mixed",
|
|
args: args{
|
|
balances: types.BalanceMap{
|
|
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
|
|
"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
|
|
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
|
|
"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
|
|
},
|
|
},
|
|
want: number(250.0),
|
|
},
|
|
}
|
|
for _, tt := range tests {
|
|
t.Run(tt.name, func(t *testing.T) {
|
|
assert.Equalf(t, tt.want, aggregateUsdNetValue(tt.args.balances), "aggregateUsdNetValue(%v)", tt.args.balances)
|
|
})
|
|
}
|
|
}
|
|
|
|
func Test_usdFiatBalances(t *testing.T) {
|
|
type args struct {
|
|
balances types.BalanceMap
|
|
}
|
|
tests := []struct {
|
|
name string
|
|
args args
|
|
wantFiats types.BalanceMap
|
|
wantRest types.BalanceMap
|
|
}{
|
|
{
|
|
args: args{
|
|
balances: types.BalanceMap{
|
|
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
|
|
"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
|
|
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
|
|
"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
|
|
},
|
|
},
|
|
wantFiats: types.BalanceMap{
|
|
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
|
|
"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
|
|
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
|
|
},
|
|
wantRest: types.BalanceMap{
|
|
"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
|
|
},
|
|
},
|
|
}
|
|
for _, tt := range tests {
|
|
t.Run(tt.name, func(t *testing.T) {
|
|
gotFiats, gotRest := usdFiatBalances(tt.args.balances)
|
|
assert.Equalf(t, tt.wantFiats, gotFiats, "usdFiatBalances(%v)", tt.args.balances)
|
|
assert.Equalf(t, tt.wantRest, gotRest, "usdFiatBalances(%v)", tt.args.balances)
|
|
})
|
|
}
|
|
}
|
|
|
|
func Test_calculateNetValueInQuote(t *testing.T) {
|
|
type args struct {
|
|
balances types.BalanceMap
|
|
prices types.PriceMap
|
|
quoteCurrency string
|
|
}
|
|
tests := []struct {
|
|
name string
|
|
args args
|
|
wantAccountValue fixedpoint.Value
|
|
}{
|
|
{
|
|
name: "positive asset",
|
|
args: args{
|
|
balances: types.BalanceMap{
|
|
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
|
|
"USDT": types.Balance{Currency: "USDT", Available: number(100.0)},
|
|
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
|
|
"BTC": types.Balance{Currency: "BTC", Available: number(0.01)},
|
|
},
|
|
prices: types.PriceMap{
|
|
"USDCUSDT": number(1.0),
|
|
"BUSDUSDT": number(1.0),
|
|
"BTCUSDT": number(19000.0),
|
|
},
|
|
quoteCurrency: "USDT",
|
|
},
|
|
wantAccountValue: number(19000.0*0.01 + 100.0 + 80.0 + 70.0),
|
|
},
|
|
{
|
|
name: "borrow base asset",
|
|
args: args{
|
|
balances: types.BalanceMap{
|
|
"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
|
|
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
|
|
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
|
|
"BTC": types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
|
|
},
|
|
prices: types.PriceMap{
|
|
"USDCUSDT": number(1.0),
|
|
"BUSDUSDT": number(1.0),
|
|
"BTCUSDT": number(19000.0),
|
|
},
|
|
quoteCurrency: "USDT",
|
|
},
|
|
wantAccountValue: number(19000.0*-2.0 + 20000.0*2 + 80.0 + 70.0),
|
|
},
|
|
{
|
|
name: "multi base asset",
|
|
args: args{
|
|
balances: types.BalanceMap{
|
|
"USDT": types.Balance{Currency: "USDT", Available: number(20000.0 * 2)},
|
|
"USDC": types.Balance{Currency: "USDC", Available: number(70.0)},
|
|
"BUSD": types.Balance{Currency: "BUSD", Available: number(80.0)},
|
|
"ETH": types.Balance{Currency: "ETH", Available: number(10.0)},
|
|
"BTC": types.Balance{Currency: "BTC", Available: number(0), Borrowed: number(2.0)},
|
|
},
|
|
prices: types.PriceMap{
|
|
"USDCUSDT": number(1.0),
|
|
"BUSDUSDT": number(1.0),
|
|
"ETHUSDT": number(1700.0),
|
|
"BTCUSDT": number(19000.0),
|
|
},
|
|
quoteCurrency: "USDT",
|
|
},
|
|
wantAccountValue: number(19000.0*-2.0 + 1700.0*10.0 + 20000.0*2 + 80.0 + 70.0),
|
|
},
|
|
}
|
|
for _, tt := range tests {
|
|
t.Run(tt.name, func(t *testing.T) {
|
|
assert.Equalf(t, tt.wantAccountValue, calculateNetValueInQuote(tt.args.balances, tt.args.prices, tt.args.quoteCurrency), "calculateNetValueInQuote(%v, %v, %v)", tt.args.balances, tt.args.prices, tt.args.quoteCurrency)
|
|
})
|
|
}
|
|
}
|