-
-
Notifications
You must be signed in to change notification settings - Fork 269
/
exit_trailing_stop_test.go
184 lines (150 loc) · 5.55 KB
/
exit_trailing_stop_test.go
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
package bbgo
import (
"testing"
"github.com/stretchr/testify/assert"
"go.uber.org/mock/gomock"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/bbgo/pkg/types/mocks"
)
// 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"),
}
return market
}
func TestTrailingStop_ShortPosition(t *testing.T) {
market := getTestMarket()
mockCtrl := gomock.NewController(t)
defer mockCtrl.Finish()
mockEx := mocks.NewMockExchange(mockCtrl)
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().SubmitOrder(gomock.Any(), types.SubmitOrder{
Symbol: "BTCUSDT",
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
Market: market,
Quantity: fixedpoint.NewFromFloat(1.0),
Tag: "trailingStop:activation=1%,callback=1%",
MarginSideEffect: types.SideEffectTypeAutoRepay,
})
session := NewExchangeSession("test", mockEx)
assert.NotNil(t, session)
session.markets[market.Symbol] = market
position := types.NewPositionFromMarket(market)
position.AverageCost = fixedpoint.NewFromFloat(20000.0)
position.Base = fixedpoint.NewFromFloat(-1.0)
orderExecutor := NewGeneralOrderExecutor(session, "BTCUSDT", "test", "test-01", position)
activationRatio := fixedpoint.NewFromFloat(0.01)
callbackRatio := fixedpoint.NewFromFloat(0.01)
stop := &TrailingStop2{
Symbol: "BTCUSDT",
Interval: types.Interval1m,
Side: types.SideTypeBuy,
CallbackRate: callbackRatio,
ActivationRatio: activationRatio,
}
stop.Bind(session, orderExecutor)
// the same price
currentPrice := fixedpoint.NewFromFloat(20000.0)
err := stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.False(t, stop.activated)
}
// 20000 - 1% = 19800
currentPrice = currentPrice.Mul(one.Sub(activationRatio))
assert.Equal(t, fixedpoint.NewFromFloat(19800.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.True(t, stop.activated)
assert.Equal(t, fixedpoint.NewFromFloat(19800.0), stop.latestHigh)
}
// 19800 - 1% = 19602
currentPrice = currentPrice.Mul(one.Sub(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(19602.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.NewFromFloat(19602.0), stop.latestHigh)
assert.True(t, stop.activated)
}
// 19602 + 1% = 19798.02
currentPrice = currentPrice.Mul(one.Add(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(19798.02), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.Zero, stop.latestHigh)
assert.False(t, stop.activated)
}
}
func TestTrailingStop_LongPosition(t *testing.T) {
market := getTestMarket()
mockCtrl := gomock.NewController(t)
defer mockCtrl.Finish()
mockEx := mocks.NewMockExchange(mockCtrl)
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().SubmitOrder(gomock.Any(), types.SubmitOrder{
Symbol: "BTCUSDT",
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Market: market,
Quantity: fixedpoint.NewFromFloat(1.0),
Tag: "trailingStop:activation=1%,callback=1%",
MarginSideEffect: types.SideEffectTypeAutoRepay,
})
session := NewExchangeSession("test", mockEx)
assert.NotNil(t, session)
session.markets[market.Symbol] = market
position := types.NewPositionFromMarket(market)
position.AverageCost = fixedpoint.NewFromFloat(20000.0)
position.Base = fixedpoint.NewFromFloat(1.0)
orderExecutor := NewGeneralOrderExecutor(session, "BTCUSDT", "test", "test-01", position)
activationRatio := fixedpoint.NewFromFloat(0.01)
callbackRatio := fixedpoint.NewFromFloat(0.01)
stop := &TrailingStop2{
Symbol: "BTCUSDT",
Interval: types.Interval1m,
Side: types.SideTypeSell,
CallbackRate: callbackRatio,
ActivationRatio: activationRatio,
}
stop.Bind(session, orderExecutor)
// the same price
currentPrice := fixedpoint.NewFromFloat(20000.0)
err := stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.False(t, stop.activated)
}
// 20000 + 1% = 20200
currentPrice = currentPrice.Mul(one.Add(activationRatio))
assert.Equal(t, fixedpoint.NewFromFloat(20200.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.True(t, stop.activated)
assert.Equal(t, fixedpoint.NewFromFloat(20200.0), stop.latestHigh)
}
// 20200 + 1% = 20402
currentPrice = currentPrice.Mul(one.Add(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(20402.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.NewFromFloat(20402.0), stop.latestHigh)
assert.True(t, stop.activated)
}
// 20402 - 1%
currentPrice = currentPrice.Mul(one.Sub(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(20197.98), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.Zero, stop.latestHigh)
assert.False(t, stop.activated)
}
}