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profit_fixer_test.go
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profit_fixer_test.go
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package grid2
import (
"context"
"testing"
"time"
"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"
)
func mustNewTime(v string) time.Time {
t, err := time.Parse(time.RFC3339, v)
if err != nil {
panic(err)
}
return t
}
var testClosedOrderID = uint64(0)
func newClosedLimitOrder(symbol string, side types.SideType, price, quantity fixedpoint.Value, ta ...time.Time) types.Order {
testClosedOrderID++
creationTime := time.Now()
updateTime := creationTime
if len(ta) > 0 {
creationTime = ta[0]
if len(ta) > 1 {
updateTime = ta[1]
}
}
return types.Order{
SubmitOrder: types.SubmitOrder{
Symbol: symbol,
Side: side,
Type: types.OrderTypeLimit,
Quantity: quantity,
Price: price,
},
Exchange: types.ExchangeBinance,
OrderID: testClosedOrderID,
Status: types.OrderStatusFilled,
ExecutedQuantity: quantity,
CreationTime: types.Time(creationTime),
UpdateTime: types.Time(updateTime),
}
}
func TestProfitFixer(t *testing.T) {
testClosedOrderID = 0
mockCtrl := gomock.NewController(t)
defer mockCtrl.Finish()
ctx := context.Background()
mockHistoryService := mocks.NewMockExchangeTradeHistoryService(mockCtrl)
mockHistoryService.EXPECT().QueryClosedOrders(gomock.Any(), "ETHUSDT", mustNewTime("2022-01-01T00:00:00Z"), mustNewTime("2022-01-07T00:00:00Z"), uint64(0)).
Return([]types.Order{
newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:01:00Z")),
newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1700.0), number(0.1), mustNewTime("2022-01-01T00:01:00Z")),
newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:01:00Z")),
newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1900.0), number(0.1), mustNewTime("2022-01-01T00:03:00Z")),
newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1905.0), number(0.1), mustNewTime("2022-01-01T00:03:00Z")),
}, nil)
mockHistoryService.EXPECT().QueryClosedOrders(gomock.Any(), "ETHUSDT", mustNewTime("2022-01-01T00:03:00Z"), mustNewTime("2022-01-07T00:00:00Z"), uint64(5)).
Return([]types.Order{
newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1900.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
newClosedLimitOrder("ETHUSDT", types.SideTypeBuy, number(1700.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1800.0), number(0.1), mustNewTime("2022-01-01T00:04:00Z")),
newClosedLimitOrder("ETHUSDT", types.SideTypeSell, number(1900.0), number(0.1), mustNewTime("2022-01-01T00:08:00Z")),
}, nil)
mockHistoryService.EXPECT().QueryClosedOrders(gomock.Any(), "ETHUSDT", mustNewTime("2022-01-01T00:08:00Z"), mustNewTime("2022-01-07T00:00:00Z"), uint64(10)).
Return([]types.Order{}, nil)
grid := NewGrid(number(1000.0), number(2000.0), number(11), number(0.01))
grid.CalculateArithmeticPins()
since, err := time.Parse(time.RFC3339, "2022-01-01T00:00:00Z")
assert.NoError(t, err)
until, err := time.Parse(time.RFC3339, "2022-01-07T00:00:00Z")
assert.NoError(t, err)
stats := &GridProfitStats{}
fixer := newProfitFixer(grid, "ETHUSDT", mockHistoryService)
err = fixer.Fix(ctx, since, until, 0, stats)
assert.NoError(t, err)
assert.Equal(t, "40", stats.TotalQuoteProfit.String())
assert.Equal(t, 4, stats.ArbitrageCount)
}