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bbgo_origin/pkg/exchange/okex/convert_test.go

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package okex
import (
"encoding/json"
"fmt"
"testing"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/exchange/okex/okexapi"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
func Test_orderDetailToGlobal(t *testing.T) {
var (
assert = assert.New(t)
orderId = 665576973905014786
// {"accFillSz":"0","algoClOrdId":"","algoId":"","attachAlgoClOrdId":"","attachAlgoOrds":[],"avgPx":"","cTime":"1704957916401","cancelSource":"","cancelSourceReason":"","category":"normal","ccy":"","clOrdId":"","fee":"0","feeCcy":"USDT","fillPx":"","fillSz":"0","fillTime":"","instId":"BTC-USDT","instType":"SPOT","lever":"","ordId":"665576973905014786","ordType":"limit","pnl":"0","posSide":"net","px":"48174.5","pxType":"","pxUsd":"","pxVol":"","quickMgnType":"","rebate":"0","rebateCcy":"BTC","reduceOnly":"false","side":"sell","slOrdPx":"","slTriggerPx":"","slTriggerPxType":"","source":"","state":"live","stpId":"","stpMode":"","sz":"0.00001","tag":"","tdMode":"cash","tgtCcy":"","tpOrdPx":"","tpTriggerPx":"","tpTriggerPxType":"","tradeId":"","uTime":"1704957916401"}
openOrder = &okexapi.OrderDetail{
AccumulatedFillSize: fixedpoint.NewFromFloat(0),
AvgPrice: fixedpoint.NewFromFloat(0),
CreatedTime: types.NewMillisecondTimestampFromInt(1704957916401),
Category: "normal",
Currency: "BTC",
ClientOrderId: "",
Fee: fixedpoint.Zero,
FeeCurrency: "USDT",
FillTime: types.NewMillisecondTimestampFromInt(0),
InstrumentID: "BTC-USDT",
InstrumentType: okexapi.InstrumentTypeSpot,
OrderId: types.StrInt64(orderId),
OrderType: okexapi.OrderTypeLimit,
Price: fixedpoint.NewFromFloat(48174.5),
Side: okexapi.SideTypeBuy,
State: okexapi.OrderStateLive,
Size: fixedpoint.NewFromFloat(0.00001),
UpdatedTime: types.NewMillisecondTimestampFromInt(1704957916401),
}
expOrder = &types.Order{
SubmitOrder: types.SubmitOrder{
ClientOrderID: openOrder.ClientOrderId,
Symbol: toGlobalSymbol(openOrder.InstrumentID),
Side: types.SideTypeBuy,
Type: types.OrderTypeLimit,
Quantity: fixedpoint.NewFromFloat(0.00001),
Price: fixedpoint.NewFromFloat(48174.5),
AveragePrice: fixedpoint.Zero,
StopPrice: fixedpoint.Zero,
TimeInForce: types.TimeInForceGTC,
},
Exchange: types.ExchangeOKEx,
OrderID: uint64(orderId),
UUID: fmt.Sprintf("%d", orderId),
Status: types.OrderStatusNew,
OriginalStatus: string(okexapi.OrderStateLive),
ExecutedQuantity: fixedpoint.Zero,
IsWorking: true,
CreationTime: types.Time(types.NewMillisecondTimestampFromInt(1704957916401).Time()),
UpdateTime: types.Time(types.NewMillisecondTimestampFromInt(1704957916401).Time()),
}
)
t.Run("succeeds", func(t *testing.T) {
order, err := orderDetailToGlobal(openOrder)
assert.NoError(err)
assert.Equal(expOrder, order)
})
t.Run("succeeds with market/buy/targetQuoteCurrency", func(t *testing.T) {
newOrder := *openOrder
newOrder.OrderType = okexapi.OrderTypeMarket
newOrder.Side = okexapi.SideTypeBuy
newOrder.TargetCurrency = okexapi.TargetCurrencyQuote
newOrder.FillPrice = fixedpoint.NewFromFloat(100)
newOrder.Size = fixedpoint.NewFromFloat(10000)
newOrder.State = okexapi.OrderStatePartiallyFilled
newExpOrder := *expOrder
newExpOrder.Side = types.SideTypeBuy
newExpOrder.Type = types.OrderTypeMarket
newExpOrder.Quantity = fixedpoint.NewFromFloat(100)
newExpOrder.Status = types.OrderStatusPartiallyFilled
newExpOrder.OriginalStatus = string(okexapi.OrderStatePartiallyFilled)
order, err := orderDetailToGlobal(&newOrder)
assert.NoError(err)
assert.Equal(&newExpOrder, order)
})
t.Run("unexpected order status", func(t *testing.T) {
newOrder := *openOrder
newOrder.State = "xxx"
_, err := orderDetailToGlobal(&newOrder)
assert.ErrorContains(err, "xxx")
})
t.Run("unexpected order type", func(t *testing.T) {
newOrder := *openOrder
newOrder.OrderType = "xxx"
_, err := orderDetailToGlobal(&newOrder)
assert.ErrorContains(err, "xxx")
})
}
func Test_tradeToGlobal(t *testing.T) {
var (
assert = assert.New(t)
raw = `{"side":"sell","fillSz":"1","fillPx":"46446.4","fillPxVol":"","fillFwdPx":"","fee":"-46","fillPnl":"0","ordId":"665951654130348158","feeRate":"-0.001","instType":"SPOT","fillPxUsd":"","instId":"BTC-USDT","clOrdId":"","posSide":"net","billId":"665951654138736652","fillMarkVol":"","tag":"","fillTime":"1705047247128","execType":"T","fillIdxPx":"","tradeId":"724072849","fillMarkPx":"","feeCcy":"USDT","ts":"1705047247130"}`
)
var res okexapi.Trade
err := json.Unmarshal([]byte(raw), &res)
assert.NoError(err)
t.Run("succeeds with sell/taker", func(t *testing.T) {
assert.Equal(tradeToGlobal(res), types.Trade{
ID: uint64(665951654138736652),
OrderID: uint64(665951654130348158),
Exchange: types.ExchangeOKEx,
Price: fixedpoint.NewFromFloat(46446.4),
Quantity: fixedpoint.One,
QuoteQuantity: fixedpoint.NewFromFloat(46446.4),
Symbol: "BTCUSDT",
Side: types.SideTypeSell,
IsBuyer: false,
IsMaker: false,
Time: types.Time(types.NewMillisecondTimestampFromInt(1705047247130).Time()),
Fee: fixedpoint.NewFromFloat(46),
FeeCurrency: "USDT",
})
})
t.Run("succeeds with buy/taker", func(t *testing.T) {
newRes := res
newRes.Side = okexapi.SideTypeBuy
assert.Equal(tradeToGlobal(newRes), types.Trade{
ID: uint64(665951654138736652),
OrderID: uint64(665951654130348158),
Exchange: types.ExchangeOKEx,
Price: fixedpoint.NewFromFloat(46446.4),
Quantity: fixedpoint.One,
QuoteQuantity: fixedpoint.NewFromFloat(46446.4),
Symbol: "BTCUSDT",
Side: types.SideTypeBuy,
IsBuyer: true,
IsMaker: false,
Time: types.Time(types.NewMillisecondTimestampFromInt(1705047247130).Time()),
Fee: fixedpoint.NewFromFloat(46),
FeeCurrency: "USDT",
})
})
t.Run("succeeds with sell/maker", func(t *testing.T) {
newRes := res
newRes.ExecutionType = okexapi.LiquidityTypeMaker
assert.Equal(tradeToGlobal(newRes), types.Trade{
ID: uint64(665951654138736652),
OrderID: uint64(665951654130348158),
Exchange: types.ExchangeOKEx,
Price: fixedpoint.NewFromFloat(46446.4),
Quantity: fixedpoint.One,
QuoteQuantity: fixedpoint.NewFromFloat(46446.4),
Symbol: "BTCUSDT",
Side: types.SideTypeSell,
IsBuyer: false,
IsMaker: true,
Time: types.Time(types.NewMillisecondTimestampFromInt(1705047247130).Time()),
Fee: fixedpoint.NewFromFloat(46),
FeeCurrency: "USDT",
})
})
t.Run("succeeds with buy/maker", func(t *testing.T) {
newRes := res
newRes.Side = okexapi.SideTypeBuy
newRes.ExecutionType = okexapi.LiquidityTypeMaker
assert.Equal(tradeToGlobal(newRes), types.Trade{
ID: uint64(665951654138736652),
OrderID: uint64(665951654130348158),
Exchange: types.ExchangeOKEx,
Price: fixedpoint.NewFromFloat(46446.4),
Quantity: fixedpoint.One,
QuoteQuantity: fixedpoint.NewFromFloat(46446.4),
Symbol: "BTCUSDT",
Side: types.SideTypeBuy,
IsBuyer: true,
IsMaker: true,
Time: types.Time(types.NewMillisecondTimestampFromInt(1705047247130).Time()),
Fee: fixedpoint.NewFromFloat(46),
FeeCurrency: "USDT",
})
})
}
func Test_processMarketBuyQuantity(t *testing.T) {
var (
assert = assert.New(t)
)
t.Run("zero", func(t *testing.T) {
size, err := processMarketBuySize(&okexapi.OrderDetail{State: okexapi.OrderStateLive})
assert.NoError(err)
assert.Equal(fixedpoint.Zero, size)
size, err = processMarketBuySize(&okexapi.OrderDetail{State: okexapi.OrderStateCanceled})
assert.NoError(err)
assert.Equal(fixedpoint.Zero, size)
})
t.Run("estimated size", func(t *testing.T) {
size, err := processMarketBuySize(&okexapi.OrderDetail{
FillPrice: fixedpoint.NewFromFloat(2),
Size: fixedpoint.NewFromFloat(4),
State: okexapi.OrderStatePartiallyFilled,
})
assert.NoError(err)
assert.Equal(fixedpoint.NewFromFloat(2), size)
})
t.Run("unexpected fill price", func(t *testing.T) {
_, err := processMarketBuySize(&okexapi.OrderDetail{
FillPrice: fixedpoint.Zero,
Size: fixedpoint.NewFromFloat(4),
State: okexapi.OrderStatePartiallyFilled,
})
assert.ErrorContains(err, "fillPrice")
})
t.Run("accumulatedFillsize", func(t *testing.T) {
size, err := processMarketBuySize(&okexapi.OrderDetail{
AccumulatedFillSize: fixedpoint.NewFromFloat(1000),
State: okexapi.OrderStateFilled,
})
assert.NoError(err)
assert.Equal(fixedpoint.NewFromFloat(1000), size)
})
t.Run("unexpected status", func(t *testing.T) {
_, err := processMarketBuySize(&okexapi.OrderDetail{
State: "XXXXXXX",
})
assert.ErrorContains(err, "unexpected")
})
}
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