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Orderbook: Fix test failures on arm64 (#1407)

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* Orderbook: Fix test failures on different arch

Fixes floating point inaccuracies on different architectures
Moves the depth tests over to table driven tests

* Kline: Fix test failures on different arch
This commit is contained in:
Gareth Kirwan
2023-12-19 05:13:46 +01:00
committed by GitHub
parent 37b1121bbd
commit a9cdbd16f9
3 changed files with 507 additions and 2114 deletions
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184
exchanges/kline/weighted_price_test.go
View File

@@ -2,54 +2,44 @@ package kline
import (
"errors"
"math"
"testing"
"time"
"github.com/stretchr/testify/assert"
)
var accuracy10dp = 1 / math.Pow10(10)
func TestGetAveragePrice(t *testing.T) {
t.Parallel()
c := Candle{}
if c.GetAveragePrice() != 0 {
t.Fatal("unexpected value")
}
assert.Zero(t, c.GetAveragePrice(), "GetAveragePrice should return zero")
c.High = 20
if c.GetAveragePrice() != 5 {
t.Fatal("unexpected value")
}
assert.Equal(t, 5.0, c.GetAveragePrice(), "GetAveragePrice should return correct value")
}
func TestGetAveragePrice_OHLC(t *testing.T) {
t.Parallel()
var ohlc *OHLC
_, err := ohlc.GetAveragePrice(-1)
if !errors.Is(err, errNilOHLC) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNilOHLC)
}
assert.ErrorIs(t, err, errNilOHLC, "GetAveragePrice should error on nil")
ohlc = &OHLC{}
_, err = ohlc.GetAveragePrice(-1)
if !errors.Is(err, errInvalidElement) {
t.Fatalf("received: '%v' but expected: '%v'", err, errInvalidElement)
}
assert.ErrorIs(t, err, errInvalidElement, "GetAveragePrice should error on negative index")
_, err = ohlc.GetAveragePrice(0)
if !errors.Is(err, errElementExceedsDataLength) {
t.Fatalf("received: '%v' but expected: '%v'", err, errElementExceedsDataLength)
}
assert.ErrorIs(t, err, errElementExceedsDataLength, "GetAveragePrice should error on empty timeseries")
ohlc.High = append(ohlc.High, 20)
ohlc.Open = append(ohlc.Open, 0)
ohlc.Low = append(ohlc.Low, 0)
ohlc.Close = append(ohlc.Close, 0)
avgPrice, err := ohlc.GetAveragePrice(0)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if avgPrice != 5 {
t.Fatal("unexpected value")
}
assert.NoError(t, err, "GetAveragePrice should not error")
assert.Equal(t, 5.0, avgPrice, "GetAveragePrice should return correct value")
}
var twapdataset = []Candle{
@@ -81,55 +71,38 @@ func TestGetTWAP_OHLC(t *testing.T) {
t.Parallel()
var ohlc *OHLC
_, err := ohlc.GetTWAP()
if !errors.Is(err, errNilOHLC) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNilOHLC)
}
assert.ErrorIs(t, err, errNilOHLC, "GetTWAP should error on nil")
ohlc = &OHLC{}
_, err = ohlc.GetTWAP()
if !errors.Is(err, errNoData) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNoData)
}
assert.ErrorIs(t, err, errNoData, "GetTWAP should error on no data")
ohlc.Open = append(ohlc.Open, 20)
ohlc.High = append(ohlc.High, 20)
ohlc.Low = append(ohlc.Low, 20)
ohlc.Close = append(ohlc.Close, 20, 20)
_, err = ohlc.GetTWAP()
if !errors.Is(err, errDataLengthMismatch) {
t.Fatalf("received: '%v' but expected: '%v'", err, errDataLengthMismatch)
}
assert.ErrorIs(t, err, errDataLengthMismatch, "GetTWAP should error on length mismatch")
i := Item{}
i.Candles = twapdataset
ohlc = i.GetOHLC()
twap, err := ohlc.GetTWAP()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if twap != 328.147840909091 {
t.Fatal("unexpected value returned from data-set")
}
assert.NoError(t, err, "GetTWAP should not error")
assert.InDelta(t, 328.147840909091, twap, accuracy10dp, "TWAP should be correct")
}
func TestGetTWAP(t *testing.T) {
t.Parallel()
candles := Item{}
if _, err := candles.GetTWAP(); !errors.Is(err, errNoData) {
t.Fatal(err)
}
_, err := candles.GetTWAP()
assert.ErrorIs(t, err, errNoData, "GetTWAP should error on no data")
candles.Candles = twapdataset
twap, err := candles.GetTWAP()
if err != nil {
t.Fatal(err)
}
if twap != 328.147840909091 {
t.Fatal("unexpected value returned from data-set")
}
assert.NoError(t, err, "GetTWAP should not error")
assert.InDelta(t, 328.147840909091, twap, accuracy10dp, "TWAP should be correct")
}
var vwapdataset = []Candle{
@@ -164,6 +137,7 @@ var vwapdataset = []Candle{
{Time: time.Date(2019, 10, 10, 9, 59, 0, 0, time.UTC), Open: 248.9199, High: 248.9199, Low: 248.9199, Close: 248.9199, Volume: 85348},
{Time: time.Date(2019, 10, 10, 10, 0, 0, 0, time.UTC), Open: 248.91, High: 249.08, Low: 248.42, Close: 248.72, Volume: 58270},
}
var expectVWAPs = []float64{245.05046666666664, 245.00156932123465, 245.07320400593073, 245.19714781780763, 245.248374356565, 245.35797872352975, 245.45540807301208, 245.57298124760712, 245.61797546720302, 245.6901232761351, 245.7435986712912, 245.76128302894574, 245.771994363731, 245.7768929849006, 245.80115004533573, 245.82471633454026, 245.90964645148168, 246.0356579876492, 246.20233204964117, 246.29892677543359, 246.57315726207088, 246.70305234595537, 246.73669536160304, 246.7746731036053, 246.83849361010806, 246.89338504378165, 246.96313273581723, 247.03640100225914, 247.16505290840146, 247.23522648930867}
func TestGetVWAPs(t *testing.T) {
t.Parallel()
@@ -174,55 +148,22 @@ func TestGetVWAPs(t *testing.T) {
candles.Candles = vwapdataset
vwap, err := candles.GetVWAPs()
if err != nil {
t.Fatal(err)
assert.NoError(t, err, "GetVWAPs should not error")
assert.Len(t, vwap, len(expectVWAPs), "Should get correct number of vwaps")
for i := range vwap {
assert.InDelta(t, expectVWAPs[i], vwap[i], accuracy10dp, "VWAPS should be correct")
}
assert(t, vwap[0], 245.05046666666664)
assert(t, vwap[1], 245.00156932123465)
assert(t, vwap[2], 245.07320400593073)
assert(t, vwap[3], 245.19714781780763)
assert(t, vwap[4], 245.248374356565)
assert(t, vwap[5], 245.35797872352975)
assert(t, vwap[6], 245.45540807301208)
assert(t, vwap[7], 245.57298124760712)
assert(t, vwap[8], 245.61797546720302)
assert(t, vwap[9], 245.6901232761351)
assert(t, vwap[10], 245.7435986712912)
assert(t, vwap[11], 245.76128302894574)
assert(t, vwap[12], 245.771994363731)
assert(t, vwap[13], 245.7768929849006)
assert(t, vwap[14], 245.80115004533573)
assert(t, vwap[15], 245.82471633454026)
assert(t, vwap[16], 245.90964645148168)
assert(t, vwap[17], 246.0356579876492)
assert(t, vwap[18], 246.20233204964117)
assert(t, vwap[19], 246.29892677543359)
assert(t, vwap[20], 246.57315726207088)
assert(t, vwap[21], 246.70305234595537)
assert(t, vwap[22], 246.73669536160304)
assert(t, vwap[23], 246.7746731036053)
assert(t, vwap[24], 246.83849361010806)
assert(t, vwap[25], 246.89338504378165)
assert(t, vwap[26], 246.96313273581723)
assert(t, vwap[27], 247.03640100225914)
assert(t, vwap[28], 247.16505290840146)
assert(t, vwap[29], 247.23522648930867)
}
func TestGetVWAPs_OHLC(t *testing.T) {
t.Parallel()
var ohlc *OHLC
_, err := ohlc.GetVWAPs()
if !errors.Is(err, errNilOHLC) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNilOHLC)
}
assert.ErrorIs(t, err, errNilOHLC, "GetVWAPs should error correctly with no data")
ohlc = &OHLC{}
_, err = ohlc.GetVWAPs()
if !errors.Is(err, errNoData) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNoData)
}
assert.ErrorIs(t, err, errNoData, "GetVWAP should error on no data")
ohlc.Open = append(ohlc.Open, 20)
ohlc.High = append(ohlc.High, 20)
@@ -230,84 +171,35 @@ func TestGetVWAPs_OHLC(t *testing.T) {
ohlc.Close = append(ohlc.Close, 20, 20)
_, err = ohlc.GetVWAPs()
if !errors.Is(err, errDataLengthMismatch) {
t.Fatalf("received: '%v' but expected: '%v'", err, errDataLengthMismatch)
}
assert.ErrorIs(t, err, errDataLengthMismatch, "GetVWAP should error on length mismatch")
ohlc = (&Item{Candles: vwapdataset}).GetOHLC()
vwap, err := ohlc.GetVWAPs()
if err != nil {
t.Fatal(err)
assert.NoError(t, err, "GetVWAPs should not error")
assert.Len(t, vwap, len(expectVWAPs), "Should get correct number of vwaps")
for i := range vwap {
assert.InDelta(t, expectVWAPs[i], vwap[i], accuracy10dp, "VWAPS should be correct")
}
assert(t, vwap[0], 245.05046666666664)
assert(t, vwap[1], 245.00156932123465)
assert(t, vwap[2], 245.07320400593073)
assert(t, vwap[3], 245.19714781780763)
assert(t, vwap[4], 245.248374356565)
assert(t, vwap[5], 245.35797872352975)
assert(t, vwap[6], 245.45540807301208)
assert(t, vwap[7], 245.57298124760712)
assert(t, vwap[8], 245.61797546720302)
assert(t, vwap[9], 245.6901232761351)
assert(t, vwap[10], 245.7435986712912)
assert(t, vwap[11], 245.76128302894574)
assert(t, vwap[12], 245.771994363731)
assert(t, vwap[13], 245.7768929849006)
assert(t, vwap[14], 245.80115004533573)
assert(t, vwap[15], 245.82471633454026)
assert(t, vwap[16], 245.90964645148168)
assert(t, vwap[17], 246.0356579876492)
assert(t, vwap[18], 246.20233204964117)
assert(t, vwap[19], 246.29892677543359)
assert(t, vwap[20], 246.57315726207088)
assert(t, vwap[21], 246.70305234595537)
assert(t, vwap[22], 246.73669536160304)
assert(t, vwap[23], 246.7746731036053)
assert(t, vwap[24], 246.83849361010806)
assert(t, vwap[25], 246.89338504378165)
assert(t, vwap[26], 246.96313273581723)
assert(t, vwap[27], 247.03640100225914)
assert(t, vwap[28], 247.16505290840146)
assert(t, vwap[29], 247.23522648930867)
}
func TestGetTypicalPrice_OHLC(t *testing.T) {
t.Parallel()
var ohlc *OHLC
_, err := ohlc.GetTypicalPrice(-1)
if !errors.Is(err, errNilOHLC) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNilOHLC)
}
assert.ErrorIs(t, err, errNilOHLC, "GetTypicalPrice should error correctly with no data")
ohlc = &OHLC{}
_, err = ohlc.GetTypicalPrice(-1)
if !errors.Is(err, errInvalidElement) {
t.Fatalf("received: '%v' but expected: '%v'", err, errInvalidElement)
}
assert.ErrorIs(t, err, errInvalidElement, "GetTypicalPrice should error on negative index")
_, err = ohlc.GetTypicalPrice(0)
if !errors.Is(err, errElementExceedsDataLength) {
t.Fatalf("received: '%v' but expected: '%v'", err, errElementExceedsDataLength)
}
assert.ErrorIs(t, err, errElementExceedsDataLength, "GetTypicalPrice should error on empty timeseries")
ohlc.High = append(ohlc.High, 15)
ohlc.Low = append(ohlc.Low, 0)
ohlc.Close = append(ohlc.Close, 0)
avgPrice, err := ohlc.GetTypicalPrice(0)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if avgPrice != 5 {
t.Fatal("unexpected value")
}
}
func assert(t *testing.T, received, expected float64) {
t.Helper()
if received != expected {
t.Fatalf("received: '%v' but expected: '%v'", received, expected)
}
assert.NoError(t, err, "GetTypicalPrice should not error")
assert.Equal(t, 5.0, avgPrice, "GetTypicalPrice should return correct value")
}