146 lines
3.7 KiB
Go
146 lines
3.7 KiB
Go
package risk
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import (
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"testing"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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)
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func TestCalculateMarginCost(t *testing.T) {
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type args struct {
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price fixedpoint.Value
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quantity fixedpoint.Value
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leverage fixedpoint.Value
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}
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tests := []struct {
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name string
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args args
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want fixedpoint.Value
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}{
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{
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name: "simple",
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args: args{
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price: fixedpoint.NewFromFloat(9000.0),
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quantity: fixedpoint.NewFromFloat(2.0),
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leverage: fixedpoint.NewFromFloat(3.0),
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},
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want: fixedpoint.NewFromFloat(9000.0 * 2.0 / 3.0),
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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if got := CalculateMarginCost(tt.args.price, tt.args.quantity, tt.args.leverage); got.String() != tt.want.String() {
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t.Errorf("CalculateMarginCost() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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func TestCalculatePositionCost(t *testing.T) {
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type args struct {
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markPrice fixedpoint.Value
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orderPrice fixedpoint.Value
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quantity fixedpoint.Value
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leverage fixedpoint.Value
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side types.SideType
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}
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tests := []struct {
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name string
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args args
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want fixedpoint.Value
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}{
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{
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// long position does not have openLoss
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name: "long",
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args: args{
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markPrice: fixedpoint.NewFromFloat(9050.0),
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orderPrice: fixedpoint.NewFromFloat(9000.0),
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quantity: fixedpoint.NewFromFloat(2.0),
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leverage: fixedpoint.NewFromFloat(3.0),
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side: types.SideTypeBuy,
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},
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want: fixedpoint.NewFromFloat(6000.0),
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},
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{
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// long position does not have openLoss
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name: "short",
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args: args{
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markPrice: fixedpoint.NewFromFloat(9050.0),
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orderPrice: fixedpoint.NewFromFloat(9000.0),
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quantity: fixedpoint.NewFromFloat(2.0),
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leverage: fixedpoint.NewFromFloat(3.0),
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side: types.SideTypeSell,
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},
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want: fixedpoint.NewFromFloat(6100.0),
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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if got := CalculatePositionCost(tt.args.markPrice, tt.args.orderPrice, tt.args.quantity, tt.args.leverage, tt.args.side); got.String() != tt.want.String() {
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t.Errorf("CalculatePositionCost() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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func TestCalculateMaxPosition(t *testing.T) {
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type args struct {
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price fixedpoint.Value
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availableMargin fixedpoint.Value
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leverage fixedpoint.Value
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}
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tests := []struct {
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name string
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args args
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want fixedpoint.Value
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}{
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{
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name: "3x",
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args: args{
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price: fixedpoint.NewFromFloat(9000.0),
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availableMargin: fixedpoint.NewFromFloat(300.0),
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leverage: fixedpoint.NewFromFloat(3.0),
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},
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want: fixedpoint.NewFromFloat(0.1),
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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if got := CalculateMaxPosition(tt.args.price, tt.args.availableMargin, tt.args.leverage); got.String() != tt.want.String() {
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t.Errorf("CalculateMaxPosition() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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func TestCalculateMinRequiredLeverage(t *testing.T) {
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type args struct {
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price fixedpoint.Value
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quantity fixedpoint.Value
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availableMargin fixedpoint.Value
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}
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tests := []struct {
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name string
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args args
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want fixedpoint.Value
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}{
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{
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name: "30x",
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args: args{
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price: fixedpoint.NewFromFloat(9000.0),
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quantity: fixedpoint.NewFromFloat(10.0),
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availableMargin: fixedpoint.NewFromFloat(3000.0),
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},
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want: fixedpoint.NewFromFloat(30.0),
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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if got := CalculateMinRequiredLeverage(tt.args.price, tt.args.quantity, tt.args.availableMargin); got.String() != tt.want.String() {
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t.Errorf("CalculateMinRequiredLeverage() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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