mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
530 lines
19 KiB
Go
530 lines
19 KiB
Go
package backtest
|
|
|
|
import (
|
|
"testing"
|
|
"time"
|
|
|
|
"github.com/stretchr/testify/assert"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
func newLimitOrder(symbol string, side types.SideType, price, quantity float64) types.SubmitOrder {
|
|
return types.SubmitOrder{
|
|
Symbol: symbol,
|
|
Side: side,
|
|
Type: types.OrderTypeLimit,
|
|
Quantity: fixedpoint.NewFromFloat(quantity),
|
|
Price: fixedpoint.NewFromFloat(price),
|
|
TimeInForce: types.TimeInForceGTC,
|
|
}
|
|
}
|
|
|
|
func TestSimplePriceMatching_orderUpdate(t *testing.T) {
|
|
account := &types.Account{
|
|
MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
|
|
TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
|
|
}
|
|
account.UpdateBalances(types.BalanceMap{
|
|
"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(10000.0)},
|
|
})
|
|
market := types.Market{
|
|
Symbol: "BTCUSDT",
|
|
PricePrecision: 8,
|
|
VolumePrecision: 8,
|
|
QuoteCurrency: "USDT",
|
|
BaseCurrency: "BTC",
|
|
MinNotional: fixedpoint.MustNewFromString("0.001"),
|
|
MinAmount: fixedpoint.MustNewFromString("10.0"),
|
|
MinQuantity: fixedpoint.MustNewFromString("0.001"),
|
|
StepSize: fixedpoint.MustNewFromString("0.00001"),
|
|
TickSize: fixedpoint.MustNewFromString("0.01"),
|
|
}
|
|
|
|
t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
|
|
engine := &SimplePriceMatching{
|
|
account: account,
|
|
Market: market,
|
|
currentTime: t1,
|
|
closedOrders: make(map[uint64]types.Order),
|
|
lastPrice: fixedpoint.NewFromFloat(25000),
|
|
}
|
|
|
|
orderUpdateCnt := 0
|
|
orderUpdateNewStatusCnt := 0
|
|
orderUpdateFilledStatusCnt := 0
|
|
var lastOrder types.Order
|
|
engine.OnOrderUpdate(func(order types.Order) {
|
|
lastOrder = order
|
|
|
|
orderUpdateCnt++
|
|
switch order.Status {
|
|
case types.OrderStatusNew:
|
|
orderUpdateNewStatusCnt++
|
|
|
|
case types.OrderStatusFilled:
|
|
orderUpdateFilledStatusCnt++
|
|
|
|
}
|
|
})
|
|
|
|
// maker order
|
|
_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 24000.0, 0.1))
|
|
assert.NoError(t, err)
|
|
assert.Equal(t, 1, orderUpdateCnt) // should get new status
|
|
assert.Equal(t, 1, orderUpdateNewStatusCnt) // should get new status
|
|
assert.Equal(t, 0, orderUpdateFilledStatusCnt) // should get new status
|
|
assert.Equal(t, types.OrderStatusNew, lastOrder.Status)
|
|
assert.Equal(t, fixedpoint.NewFromFloat(0.0), lastOrder.ExecutedQuantity)
|
|
|
|
t2 := t1.Add(time.Minute)
|
|
|
|
// should match 25000, 24000
|
|
k := newKLine("BTCUSDT", types.Interval1m, t2, 26000, 27000, 23000, 25000)
|
|
engine.processKLine(k)
|
|
|
|
assert.Equal(t, 2, orderUpdateCnt) // should got new and filled
|
|
assert.Equal(t, 1, orderUpdateNewStatusCnt) // should got new status
|
|
assert.Equal(t, 1, orderUpdateFilledStatusCnt) // should got new status
|
|
assert.Equal(t, types.OrderStatusFilled, lastOrder.Status)
|
|
assert.Equal(t, "0.1", lastOrder.ExecutedQuantity.String())
|
|
assert.Equal(t, lastOrder.Quantity.String(), lastOrder.ExecutedQuantity.String())
|
|
}
|
|
|
|
func TestSimplePriceMatching_CancelOrder(t *testing.T) {
|
|
account := getTestAccount()
|
|
market := getTestMarket()
|
|
t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
|
|
engine := &SimplePriceMatching{
|
|
account: account,
|
|
Market: market,
|
|
currentTime: t1,
|
|
closedOrders: make(map[uint64]types.Order),
|
|
lastPrice: fixedpoint.NewFromFloat(30000.0),
|
|
}
|
|
|
|
createdOrder1, trade1, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 20000.0, 0.1))
|
|
assert.NoError(t, err)
|
|
assert.Nil(t, trade1)
|
|
assert.Len(t, engine.bidOrders, 1)
|
|
assert.Len(t, engine.askOrders, 0)
|
|
|
|
createdOrder2, trade2, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeSell, 40000.0, 0.1))
|
|
assert.NoError(t, err)
|
|
assert.Nil(t, trade2)
|
|
assert.Len(t, engine.bidOrders, 1)
|
|
assert.Len(t, engine.askOrders, 1)
|
|
|
|
if assert.NotNil(t, createdOrder1) {
|
|
retOrder, err := engine.CancelOrder(*createdOrder1)
|
|
assert.NoError(t, err)
|
|
assert.NotNil(t, retOrder)
|
|
assert.Len(t, engine.bidOrders, 0)
|
|
assert.Len(t, engine.askOrders, 1)
|
|
}
|
|
|
|
if assert.NotNil(t, createdOrder2) {
|
|
retOrder, err := engine.CancelOrder(*createdOrder2)
|
|
assert.NoError(t, err)
|
|
assert.NotNil(t, retOrder)
|
|
assert.Len(t, engine.bidOrders, 0)
|
|
assert.Len(t, engine.askOrders, 0)
|
|
}
|
|
}
|
|
|
|
func TestSimplePriceMatching_processKLine(t *testing.T) {
|
|
account := getTestAccount()
|
|
market := getTestMarket()
|
|
|
|
t1 := time.Date(2021, 7, 1, 0, 0, 0, 0, time.UTC)
|
|
engine := &SimplePriceMatching{
|
|
account: account,
|
|
Market: market,
|
|
currentTime: t1,
|
|
closedOrders: make(map[uint64]types.Order),
|
|
lastPrice: fixedpoint.NewFromFloat(30000.0),
|
|
}
|
|
|
|
for i := 0; i <= 5; i++ {
|
|
var p = 20000.0 + float64(i)*1000.0
|
|
_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, p, 0.001))
|
|
assert.NoError(t, err)
|
|
}
|
|
|
|
t2 := t1.Add(time.Minute)
|
|
|
|
// should match 25000, 24000
|
|
k := newKLine("BTCUSDT", types.Interval1m, t2, 30000, 27000, 23000, 25000)
|
|
assert.Equal(t, t2.Add(time.Minute-time.Millisecond), k.EndTime.Time())
|
|
|
|
engine.processKLine(k)
|
|
assert.Equal(t, 3, len(engine.bidOrders))
|
|
assert.Len(t, engine.bidOrders, 3)
|
|
assert.Equal(t, 3, len(engine.closedOrders))
|
|
|
|
for _, o := range engine.closedOrders {
|
|
assert.Equal(t, k.EndTime.Time(), o.UpdateTime.Time())
|
|
}
|
|
}
|
|
|
|
func newKLine(symbol string, interval types.Interval, startTime time.Time, o, h, l, c float64) types.KLine {
|
|
return types.KLine{
|
|
Symbol: symbol,
|
|
StartTime: types.Time(startTime),
|
|
EndTime: types.Time(startTime.Add(interval.Duration() - time.Millisecond)),
|
|
Interval: interval,
|
|
Open: fixedpoint.NewFromFloat(o),
|
|
High: fixedpoint.NewFromFloat(h),
|
|
Low: fixedpoint.NewFromFloat(l),
|
|
Close: fixedpoint.NewFromFloat(c),
|
|
Closed: true,
|
|
}
|
|
}
|
|
|
|
// getTestMarket returns the BTCUSDT market information
|
|
// for tests, we always use BTCUSDT
|
|
func getTestMarket() types.Market {
|
|
market := types.Market{
|
|
Symbol: "BTCUSDT",
|
|
PricePrecision: 8,
|
|
VolumePrecision: 8,
|
|
QuoteCurrency: "USDT",
|
|
BaseCurrency: "BTC",
|
|
MinNotional: fixedpoint.MustNewFromString("0.001"),
|
|
MinAmount: fixedpoint.MustNewFromString("10.0"),
|
|
MinQuantity: fixedpoint.MustNewFromString("0.001"),
|
|
StepSize: fixedpoint.MustNewFromString("0.00001"),
|
|
TickSize: fixedpoint.MustNewFromString("0.01"),
|
|
}
|
|
return market
|
|
}
|
|
|
|
func getTestAccount() *types.Account {
|
|
account := &types.Account{
|
|
MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
|
|
TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
|
|
}
|
|
account.UpdateBalances(types.BalanceMap{
|
|
"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(1000000.0)},
|
|
"BTC": {Currency: "BTC", Available: fixedpoint.NewFromFloat(100.0)},
|
|
})
|
|
return account
|
|
}
|
|
|
|
func TestSimplePriceMatching_LimitBuyTakerOrder(t *testing.T) {
|
|
account := getTestAccount()
|
|
market := getTestMarket()
|
|
engine := &SimplePriceMatching{
|
|
account: account,
|
|
Market: market,
|
|
closedOrders: make(map[uint64]types.Order),
|
|
lastPrice: fixedpoint.NewFromFloat(19000.0),
|
|
}
|
|
|
|
takerOrder := types.SubmitOrder{
|
|
Symbol: market.Symbol,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeLimit,
|
|
Quantity: fixedpoint.NewFromFloat(0.1),
|
|
Price: fixedpoint.NewFromFloat(20000.0),
|
|
TimeInForce: types.TimeInForceGTC,
|
|
}
|
|
createdOrder, trade, err := engine.PlaceOrder(takerOrder)
|
|
assert.NoError(t, err)
|
|
t.Logf("created order: %+v", createdOrder)
|
|
t.Logf("executed trade: %+v", trade)
|
|
|
|
assert.Equal(t, "19000", trade.Price.String())
|
|
assert.Equal(t, "19000", createdOrder.AveragePrice.String())
|
|
assert.Equal(t, "20000", createdOrder.Price.String())
|
|
|
|
usdt, ok := account.Balance("USDT")
|
|
assert.True(t, ok)
|
|
assert.True(t, usdt.Locked.IsZero())
|
|
|
|
btc, ok := account.Balance("BTC")
|
|
assert.True(t, ok)
|
|
assert.True(t, btc.Locked.IsZero())
|
|
assert.Equal(t, fixedpoint.NewFromFloat(100.0).Add(createdOrder.Quantity).String(), btc.Available.String())
|
|
|
|
usedQuoteAmount := createdOrder.AveragePrice.Mul(createdOrder.Quantity)
|
|
assert.Equal(t, "USDT", trade.FeeCurrency)
|
|
assert.Equal(t, usdt.Available.String(), fixedpoint.NewFromFloat(1000000.0).Sub(usedQuoteAmount).Sub(trade.Fee).String())
|
|
}
|
|
|
|
func TestSimplePriceMatching_StopLimitOrderBuy(t *testing.T) {
|
|
account := getTestAccount()
|
|
market := getTestMarket()
|
|
engine := &SimplePriceMatching{
|
|
account: account,
|
|
Market: market,
|
|
closedOrders: make(map[uint64]types.Order),
|
|
lastPrice: fixedpoint.NewFromFloat(19000.0),
|
|
}
|
|
|
|
stopBuyOrder := types.SubmitOrder{
|
|
Symbol: market.Symbol,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeStopLimit,
|
|
Quantity: fixedpoint.NewFromFloat(0.1),
|
|
Price: fixedpoint.NewFromFloat(22000.0),
|
|
StopPrice: fixedpoint.NewFromFloat(21000.0),
|
|
TimeInForce: types.TimeInForceGTC,
|
|
}
|
|
createdOrder, trade, err := engine.PlaceOrder(stopBuyOrder)
|
|
assert.NoError(t, err)
|
|
assert.Nil(t, trade, "place stop order should not trigger the stop buy")
|
|
assert.NotNil(t, createdOrder, "place stop order should not trigger the stop buy")
|
|
|
|
// place some limit orders, so we ensure that the remaining orders are not removed.
|
|
_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeBuy, 18000, 0.01))
|
|
assert.NoError(t, err)
|
|
_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeSell, 32000, 0.01))
|
|
assert.NoError(t, err)
|
|
assert.Equal(t, 2, len(engine.bidOrders))
|
|
assert.Equal(t, 1, len(engine.askOrders))
|
|
|
|
closedOrders, trades := engine.buyToPrice(fixedpoint.NewFromFloat(20000.0))
|
|
assert.Len(t, closedOrders, 0, "price change far from the price should not trigger the stop buy")
|
|
assert.Len(t, trades, 0, "price change far from the price should not trigger the stop buy")
|
|
assert.Equal(t, 2, len(engine.bidOrders), "bid orders should be the same")
|
|
assert.Equal(t, 1, len(engine.askOrders), "ask orders should be the same")
|
|
|
|
closedOrders, trades = engine.buyToPrice(fixedpoint.NewFromFloat(21001.0))
|
|
assert.Len(t, closedOrders, 1, "should trigger the stop buy order")
|
|
assert.Len(t, trades, 1, "should have stop order trade executed")
|
|
|
|
assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
|
|
assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
|
|
assert.Equal(t, "21001", trades[0].Price.String())
|
|
assert.Equal(t, "22000", closedOrders[0].Price.String(), "order.Price should not be adjusted")
|
|
|
|
assert.Equal(t, fixedpoint.NewFromFloat(21001.0).String(), engine.lastPrice.String())
|
|
|
|
stopOrder2 := types.SubmitOrder{
|
|
Symbol: market.Symbol,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeStopLimit,
|
|
Quantity: fixedpoint.NewFromFloat(0.1),
|
|
Price: fixedpoint.NewFromFloat(22000.0),
|
|
StopPrice: fixedpoint.NewFromFloat(21000.0),
|
|
TimeInForce: types.TimeInForceGTC,
|
|
}
|
|
createdOrder, trade, err = engine.PlaceOrder(stopOrder2)
|
|
assert.NoError(t, err)
|
|
assert.Nil(t, trade, "place stop order should not trigger the stop buy")
|
|
assert.NotNil(t, createdOrder, "place stop order should not trigger the stop buy")
|
|
assert.Len(t, engine.bidOrders, 2)
|
|
|
|
closedOrders, trades = engine.sellToPrice(fixedpoint.NewFromFloat(20500.0))
|
|
assert.Len(t, closedOrders, 1, "should trigger the stop buy order")
|
|
assert.Len(t, trades, 1, "should have stop order trade executed")
|
|
assert.Len(t, engine.bidOrders, 1, "should left one bid order")
|
|
}
|
|
|
|
func TestSimplePriceMatching_StopLimitOrderSell(t *testing.T) {
|
|
account := getTestAccount()
|
|
market := getTestMarket()
|
|
engine := &SimplePriceMatching{
|
|
account: account,
|
|
Market: market,
|
|
closedOrders: make(map[uint64]types.Order),
|
|
lastPrice: fixedpoint.NewFromFloat(22000.0),
|
|
}
|
|
|
|
stopSellOrder := types.SubmitOrder{
|
|
Symbol: market.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeStopLimit,
|
|
Quantity: fixedpoint.NewFromFloat(0.1),
|
|
Price: fixedpoint.NewFromFloat(20000.0),
|
|
StopPrice: fixedpoint.NewFromFloat(21000.0),
|
|
TimeInForce: types.TimeInForceGTC,
|
|
}
|
|
createdOrder, trade, err := engine.PlaceOrder(stopSellOrder)
|
|
assert.NoError(t, err)
|
|
assert.Nil(t, trade, "place stop order should not trigger the stop sell")
|
|
assert.NotNil(t, createdOrder, "place stop order should not trigger the stop sell")
|
|
|
|
// place some limit orders, so we ensure that the remaining orders are not removed.
|
|
_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeBuy, 18000, 0.01))
|
|
assert.NoError(t, err)
|
|
_, _, err = engine.PlaceOrder(newLimitOrder(market.Symbol, types.SideTypeSell, 32000, 0.01))
|
|
assert.NoError(t, err)
|
|
assert.Equal(t, 1, len(engine.bidOrders))
|
|
assert.Equal(t, 2, len(engine.askOrders))
|
|
|
|
closedOrders, trades := engine.sellToPrice(fixedpoint.NewFromFloat(21500.0))
|
|
assert.Len(t, closedOrders, 0, "price change far from the price should not trigger the stop buy")
|
|
assert.Len(t, trades, 0, "price change far from the price should not trigger the stop buy")
|
|
assert.Equal(t, 1, len(engine.bidOrders))
|
|
assert.Equal(t, 2, len(engine.askOrders))
|
|
|
|
closedOrders, trades = engine.sellToPrice(fixedpoint.NewFromFloat(20990.0))
|
|
assert.Len(t, closedOrders, 1, "should trigger the stop sell order")
|
|
assert.Len(t, trades, 1, "should have stop order trade executed")
|
|
assert.Equal(t, 1, len(engine.bidOrders))
|
|
assert.Equal(t, 1, len(engine.askOrders))
|
|
|
|
assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
|
|
assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
|
|
assert.Equal(t, "20000", closedOrders[0].Price.String(), "limit order price should not be changed")
|
|
assert.Equal(t, "20990", trades[0].Price.String())
|
|
assert.Equal(t, "20990", engine.lastPrice.String())
|
|
|
|
// place a stop limit sell order with a higher price than the current price
|
|
stopOrder2 := types.SubmitOrder{
|
|
Symbol: market.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeStopLimit,
|
|
Quantity: fixedpoint.NewFromFloat(0.1),
|
|
Price: fixedpoint.NewFromFloat(20000.0),
|
|
StopPrice: fixedpoint.NewFromFloat(21000.0),
|
|
TimeInForce: types.TimeInForceGTC,
|
|
}
|
|
|
|
createdOrder, trade, err = engine.PlaceOrder(stopOrder2)
|
|
assert.NoError(t, err)
|
|
assert.Nil(t, trade, "place stop order should not trigger the stop sell")
|
|
assert.NotNil(t, createdOrder, "place stop order should not trigger the stop sell")
|
|
|
|
closedOrders, trades = engine.buyToPrice(fixedpoint.NewFromFloat(21000.0))
|
|
if assert.Len(t, closedOrders, 1, "should trigger the stop sell order") {
|
|
assert.Len(t, trades, 1, "should have stop order trade executed")
|
|
assert.Equal(t, types.SideTypeSell, closedOrders[0].Side)
|
|
assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
|
|
assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
|
|
assert.Equal(t, "21000", trades[0].Price.String(), "trade price should be the kline price not the order price")
|
|
assert.Equal(t, "21000", engine.lastPrice.String(), "engine last price should be updated correctly")
|
|
}
|
|
}
|
|
|
|
func TestSimplePriceMatching_StopMarketOrderSell(t *testing.T) {
|
|
account := getTestAccount()
|
|
market := getTestMarket()
|
|
engine := &SimplePriceMatching{
|
|
account: account,
|
|
Market: market,
|
|
closedOrders: make(map[uint64]types.Order),
|
|
lastPrice: fixedpoint.NewFromFloat(22000.0),
|
|
}
|
|
|
|
stopOrder := types.SubmitOrder{
|
|
Symbol: market.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeStopMarket,
|
|
Quantity: fixedpoint.NewFromFloat(0.1),
|
|
Price: fixedpoint.NewFromFloat(20000.0),
|
|
StopPrice: fixedpoint.NewFromFloat(21000.0),
|
|
TimeInForce: types.TimeInForceGTC,
|
|
}
|
|
createdOrder, trade, err := engine.PlaceOrder(stopOrder)
|
|
assert.NoError(t, err)
|
|
assert.Nil(t, trade, "place stop order should not trigger the stop sell")
|
|
assert.NotNil(t, createdOrder, "place stop order should not trigger the stop sell")
|
|
|
|
closedOrders, trades := engine.sellToPrice(fixedpoint.NewFromFloat(21500.0))
|
|
assert.Len(t, closedOrders, 0, "price change far from the price should not trigger the stop buy")
|
|
assert.Len(t, trades, 0, "price change far from the price should not trigger the stop buy")
|
|
|
|
closedOrders, trades = engine.sellToPrice(fixedpoint.NewFromFloat(20990.0))
|
|
assert.Len(t, closedOrders, 1, "should trigger the stop sell order")
|
|
assert.Len(t, trades, 1, "should have stop order trade executed")
|
|
|
|
assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
|
|
assert.Equal(t, types.OrderTypeMarket, closedOrders[0].Type)
|
|
assert.Equal(t, fixedpoint.NewFromFloat(20990.0), trades[0].Price, "trade price should be adjusted to the last price")
|
|
}
|
|
|
|
func TestSimplePriceMatching_PlaceLimitOrder(t *testing.T) {
|
|
account := getTestAccount()
|
|
market := getTestMarket()
|
|
engine := &SimplePriceMatching{
|
|
account: account,
|
|
Market: market,
|
|
closedOrders: make(map[uint64]types.Order),
|
|
}
|
|
|
|
for i := 0; i < 5; i++ {
|
|
_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 8000.0-float64(i), 1.0))
|
|
assert.NoError(t, err)
|
|
}
|
|
assert.Len(t, engine.bidOrders, 5)
|
|
assert.Len(t, engine.askOrders, 0)
|
|
|
|
for i := 0; i < 5; i++ {
|
|
_, _, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeSell, 9000.0+float64(i), 1.0))
|
|
assert.NoError(t, err)
|
|
}
|
|
assert.Len(t, engine.bidOrders, 5)
|
|
assert.Len(t, engine.askOrders, 5)
|
|
|
|
closedOrders, trades := engine.sellToPrice(fixedpoint.NewFromFloat(8100.0))
|
|
assert.Len(t, closedOrders, 0)
|
|
assert.Len(t, trades, 0)
|
|
|
|
closedOrders, trades = engine.sellToPrice(fixedpoint.NewFromFloat(8000.0))
|
|
assert.Len(t, closedOrders, 1)
|
|
assert.Len(t, trades, 1)
|
|
for _, trade := range trades {
|
|
assert.True(t, trade.IsBuyer)
|
|
}
|
|
|
|
for _, o := range closedOrders {
|
|
assert.Equal(t, types.SideTypeBuy, o.Side)
|
|
}
|
|
|
|
closedOrders, trades = engine.sellToPrice(fixedpoint.NewFromFloat(7000.0))
|
|
assert.Len(t, closedOrders, 4)
|
|
assert.Len(t, trades, 4)
|
|
|
|
closedOrders, trades = engine.buyToPrice(fixedpoint.NewFromFloat(8900.0))
|
|
assert.Len(t, closedOrders, 0)
|
|
assert.Len(t, trades, 0)
|
|
|
|
closedOrders, trades = engine.buyToPrice(fixedpoint.NewFromFloat(9000.0))
|
|
assert.Len(t, closedOrders, 1)
|
|
assert.Len(t, trades, 1)
|
|
for _, o := range closedOrders {
|
|
assert.Equal(t, types.SideTypeSell, o.Side)
|
|
}
|
|
for _, trade := range trades {
|
|
assert.Equal(t, types.SideTypeSell, trade.Side)
|
|
}
|
|
|
|
closedOrders, trades = engine.buyToPrice(fixedpoint.NewFromFloat(9500.0))
|
|
assert.Len(t, closedOrders, 4)
|
|
assert.Len(t, trades, 4)
|
|
}
|
|
|
|
func TestSimplePriceMatching_LimitTakerOrder(t *testing.T) {
|
|
account := getTestAccount()
|
|
market := getTestMarket()
|
|
engine := &SimplePriceMatching{
|
|
account: account,
|
|
Market: market,
|
|
closedOrders: make(map[uint64]types.Order),
|
|
lastPrice: fixedpoint.NewFromFloat(20000.0),
|
|
}
|
|
|
|
closedOrder, trade, err := engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeBuy, 21000.0, 1.0))
|
|
assert.NoError(t, err)
|
|
if assert.NotNil(t, closedOrder) {
|
|
if assert.NotNil(t, trade) {
|
|
assert.Equal(t, "20000", trade.Price.String())
|
|
assert.False(t, trade.IsMaker, "should be taker")
|
|
}
|
|
}
|
|
|
|
closedOrder, trade, err = engine.PlaceOrder(newLimitOrder("BTCUSDT", types.SideTypeSell, 19000.0, 1.0))
|
|
assert.NoError(t, err)
|
|
if assert.NotNil(t, closedOrder) {
|
|
assert.Equal(t, "19000", closedOrder.Price.String())
|
|
if assert.NotNil(t, trade) {
|
|
assert.Equal(t, "20000", trade.Price.String())
|
|
assert.False(t, trade.IsMaker, "should be taker")
|
|
}
|
|
}
|
|
}
|