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backtester: Fix ensureOrderFitsWithinHLV (#1338)

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Co-authored-by: xiaoniu <yang.ruoqi@outlook.com>
This commit is contained in:
Martin
2023-09-11 14:38:19 +08:00
committed by GitHub
parent c9040a862c
commit bc26c53c32
2 changed files with 5 additions and 9 deletions
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10
backtester/eventhandlers/exchange/exchange.go
View File

@@ -439,20 +439,16 @@ func ensureOrderFitsWithinHLV(price, amount, high, low, volume decimal.Decimal)
if adjustedPrice.GreaterThan(high) {
adjustedPrice = high
}
orderVolume := amount.Mul(adjustedPrice)
if volume.LessThanOrEqual(decimal.Zero) || orderVolume.LessThanOrEqual(volume) {
if volume.LessThanOrEqual(decimal.Zero) || amount.LessThanOrEqual(volume) {
return adjustedPrice, amount
}
if orderVolume.GreaterThan(volume) {
if amount.GreaterThan(volume) {
// reduce the volume to not exceed the total volume of the candle
// it is slightly less than the total to still allow for the illusion
// that open high low close values are valid with the remaining volume
// this is very opinionated
orderVolume = volume.Mul(decimal.NewFromFloat(0.99999999))
adjustedAmount = volume.Mul(decimal.NewFromFloat(0.99999999))
}
// extract the amount from the adjusted volume
adjustedAmount = orderVolume.Div(adjustedPrice)
return adjustedPrice, adjustedAmount
}

4
backtester/eventhandlers/exchange/exchange_test.go
View File

@@ -152,7 +152,7 @@ func TestSetCurrency(t *testing.T) {
func TestEnsureOrderFitsWithinHLV(t *testing.T) {
t.Parallel()
adjustedPrice, adjustedAmount := ensureOrderFitsWithinHLV(decimal.NewFromInt(123), decimal.NewFromInt(1), decimal.NewFromInt(100), decimal.NewFromInt(99), decimal.NewFromInt(100))
adjustedPrice, adjustedAmount := ensureOrderFitsWithinHLV(decimal.NewFromInt(123), decimal.NewFromInt(1), decimal.NewFromInt(100), decimal.NewFromInt(99), decimal.NewFromInt(10))
if !adjustedAmount.Equal(decimal.NewFromInt(1)) {
t.Error("expected 1")
}
@@ -160,7 +160,7 @@ func TestEnsureOrderFitsWithinHLV(t *testing.T) {
t.Error("expected 100")
}
adjustedPrice, adjustedAmount = ensureOrderFitsWithinHLV(decimal.NewFromInt(123), decimal.NewFromInt(1), decimal.NewFromInt(100), decimal.NewFromInt(99), decimal.NewFromInt(80))
adjustedPrice, adjustedAmount = ensureOrderFitsWithinHLV(decimal.NewFromInt(123), decimal.NewFromInt(1), decimal.NewFromInt(100), decimal.NewFromInt(99), decimal.NewFromFloat(0.8))
if !adjustedAmount.Equal(decimal.NewFromFloat(0.799999992)) {
t.Errorf("received: %v, expected: %v", adjustedAmount, decimal.NewFromFloat(0.799999992))
}