package orderbook import ( "errors" "log" "math/rand" "os" "strconv" "sync" "testing" "time" "github.com/thrasher-corp/gocryptotrader/currency" "github.com/thrasher-corp/gocryptotrader/dispatch" "github.com/thrasher-corp/gocryptotrader/exchanges/asset" ) func TestMain(m *testing.M) { // Sets up lower values for test environment defaultInterval = time.Millisecond * 250 defaultAllowance = time.Millisecond * 100 err := dispatch.Start(dispatch.DefaultMaxWorkers, dispatch.DefaultJobsLimit*10) if err != nil { log.Fatal(err) } os.Exit(m.Run()) } func TestSubscribeToExchangeOrderbooks(t *testing.T) { _, err := SubscribeToExchangeOrderbooks("") if !errors.Is(err, errCannotFindOrderbook) { t.Fatalf("expected: %v but received: %v", errCannotFindOrderbook, err) } p := currency.NewPair(currency.BTC, currency.USD) b := Base{ Pair: p, Asset: asset.Spot, Exchange: "SubscribeToExchangeOrderbooks", Bids: []Item{{Price: 100, Amount: 1}, {Price: 99, Amount: 1}}, } err = b.Process() if err != nil { t.Error(err) } _, err = SubscribeToExchangeOrderbooks("SubscribeToExchangeOrderbooks") if err != nil { t.Error(err) } } func TestVerify(t *testing.T) { t.Parallel() b := Base{ Exchange: "TestExchange", Asset: asset.Spot, Pair: currency.NewPair(currency.BTC, currency.USD), VerifyOrderbook: true, } err := b.Verify() if err != nil { t.Fatalf("expecting %v error but received %v", nil, err) } b.Asks = []Item{{ID: 1337, Price: 99, Amount: 1}, {ID: 1337, Price: 100, Amount: 1}} err = b.Verify() if !errors.Is(err, errIDDuplication) { t.Fatalf("expecting %s error but received %v", errIDDuplication, err) } b.Asks = []Item{{Price: 100, Amount: 1}, {Price: 100, Amount: 1}} err = b.Verify() if !errors.Is(err, errDuplication) { t.Fatalf("expecting %s error but received %v", errDuplication, err) } b.Asks = []Item{{Price: 100, Amount: 1}, {Price: 99, Amount: 1}} b.IsFundingRate = true err = b.Verify() if !errors.Is(err, errPeriodUnset) { t.Fatalf("expecting %s error but received %v", errPeriodUnset, err) } b.IsFundingRate = false err = b.Verify() if !errors.Is(err, errPriceOutOfOrder) { t.Fatalf("expecting %s error but received %v", errPriceOutOfOrder, err) } b.Asks = []Item{{Price: 100, Amount: 1}, {Price: 100, Amount: 0}} err = b.Verify() if !errors.Is(err, errAmountInvalid) { t.Fatalf("expecting %s error but received %v", errAmountInvalid, err) } b.Asks = []Item{{Price: 100, Amount: 1}, {Price: 0, Amount: 100}} err = b.Verify() if !errors.Is(err, errPriceNotSet) { t.Fatalf("expecting %s error but received %v", errPriceNotSet, err) } b.Bids = []Item{{ID: 1337, Price: 100, Amount: 1}, {ID: 1337, Price: 99, Amount: 1}} err = b.Verify() if !errors.Is(err, errIDDuplication) { t.Fatalf("expecting %s error but received %v", errIDDuplication, err) } b.Bids = []Item{{Price: 100, Amount: 1}, {Price: 100, Amount: 1}} err = b.Verify() if !errors.Is(err, errDuplication) { t.Fatalf("expecting %s error but received %v", errDuplication, err) } b.Bids = []Item{{Price: 99, Amount: 1}, {Price: 100, Amount: 1}} b.IsFundingRate = true err = b.Verify() if !errors.Is(err, errPeriodUnset) { t.Fatalf("expecting %s error but received %v", errPeriodUnset, err) } b.IsFundingRate = false err = b.Verify() if !errors.Is(err, errPriceOutOfOrder) { t.Fatalf("expecting %s error but received %v", errPriceOutOfOrder, err) } b.Bids = []Item{{Price: 100, Amount: 1}, {Price: 100, Amount: 0}} err = b.Verify() if !errors.Is(err, errAmountInvalid) { t.Fatalf("expecting %s error but received %v", errAmountInvalid, err) } b.Bids = []Item{{Price: 100, Amount: 1}, {Price: 0, Amount: 100}} err = b.Verify() if !errors.Is(err, errPriceNotSet) { t.Fatalf("expecting %s error but received %v", errPriceNotSet, err) } } func TestCalculateTotalBids(t *testing.T) { t.Parallel() curr, err := currency.NewPairFromStrings("BTC", "USD") if err != nil { t.Fatal(err) } base := Base{ Pair: curr, Bids: []Item{{Price: 100, Amount: 10}}, LastUpdated: time.Now(), } a, b := base.TotalBidsAmount() if a != 10 && b != 1000 { t.Fatal("TestCalculateTotalBids expected a = 10 and b = 1000") } } func TestCalculateTotalAsks(t *testing.T) { t.Parallel() curr, err := currency.NewPairFromStrings("BTC", "USD") if err != nil { t.Fatal(err) } base := Base{ Pair: curr, Asks: []Item{{Price: 100, Amount: 10}}, } a, b := base.TotalAsksAmount() if a != 10 && b != 1000 { t.Fatal("TestCalculateTotalAsks expected a = 10 and b = 1000") } } func TestGetOrderbook(t *testing.T) { c, err := currency.NewPairFromStrings("BTC", "USD") if err != nil { t.Fatal(err) } base := &Base{ Pair: c, Asks: []Item{{Price: 100, Amount: 10}}, Bids: []Item{{Price: 200, Amount: 10}}, Exchange: "Exchange", Asset: asset.Spot, } err = base.Process() if err != nil { t.Fatal(err) } result, err := Get("Exchange", c, asset.Spot) if err != nil { t.Fatalf("TestGetOrderbook failed to get orderbook. Error %s", err) } if !result.Pair.Equal(c) { t.Fatal("TestGetOrderbook failed. Mismatched pairs") } _, err = Get("nonexistent", c, asset.Spot) if !errors.Is(err, errCannotFindOrderbook) { t.Fatalf("received '%v', expected '%v'", err, errCannotFindOrderbook) } c.Base = currency.NewCode("blah") _, err = Get("Exchange", c, asset.Spot) if !errors.Is(err, errCannotFindOrderbook) { t.Fatalf("received '%v', expected '%v', using invalid first currency", err, errCannotFindOrderbook) } newCurrency, err := currency.NewPairFromStrings("BTC", "AUD") if err != nil { t.Fatal(err) } _, err = Get("Exchange", newCurrency, asset.Spot) if !errors.Is(err, errCannotFindOrderbook) { t.Fatalf("received '%v', expected '%v', using invalid second currency", err, errCannotFindOrderbook) } base.Pair = newCurrency err = base.Process() if err != nil { t.Error(err) } _, err = Get("Exchange", newCurrency, asset.Empty) if err == nil { t.Error("error cannot be nil") } } func TestGetDepth(t *testing.T) { c, err := currency.NewPairFromStrings("BTC", "USD") if err != nil { t.Fatal(err) } base := &Base{ Pair: c, Asks: []Item{{Price: 100, Amount: 10}}, Bids: []Item{{Price: 200, Amount: 10}}, Exchange: "Exchange", Asset: asset.Spot, } err = base.Process() if err != nil { t.Fatal(err) } result, err := GetDepth("Exchange", c, asset.Spot) if err != nil { t.Fatalf("TestGetOrderbook failed to get orderbook. Error %s", err) } if !result.pair.Equal(c) { t.Fatal("TestGetOrderbook failed. Mismatched pairs") } _, err = GetDepth("nonexistent", c, asset.Spot) if !errors.Is(err, errCannotFindOrderbook) { t.Fatalf("expecting %s error but received %v", errCannotFindOrderbook, err) } c.Base = currency.NewCode("blah") _, err = GetDepth("Exchange", c, asset.Spot) if !errors.Is(err, errCannotFindOrderbook) { t.Fatalf("expecting %s error but received %v", errCannotFindOrderbook, err) } newCurrency, err := currency.NewPairFromStrings("BTC", "DOGE") if err != nil { t.Fatal(err) } _, err = GetDepth("Exchange", newCurrency, asset.Futures) if !errors.Is(err, errCannotFindOrderbook) { t.Fatalf("expecting %s error but received %v", errCannotFindOrderbook, err) } base.Pair = newCurrency err = base.Process() if err != nil { t.Error(err) } _, err = GetDepth("Exchange", newCurrency, asset.Empty) if !errors.Is(err, errCannotFindOrderbook) { t.Fatalf("expecting %s error but received %v", errCannotFindOrderbook, err) } } func TestDeployDepth(t *testing.T) { c, err := currency.NewPairFromStrings("BTC", "USD") if err != nil { t.Fatal(err) } _, err = DeployDepth("", c, asset.Spot) if !errors.Is(err, errExchangeNameUnset) { t.Fatalf("expecting %s error but received %v", errExchangeNameUnset, err) } _, err = DeployDepth("test", currency.EMPTYPAIR, asset.Spot) if !errors.Is(err, errPairNotSet) { t.Fatalf("expecting %s error but received %v", errPairNotSet, err) } _, err = DeployDepth("test", c, asset.Empty) if !errors.Is(err, errAssetTypeNotSet) { t.Fatalf("expecting %s error but received %v", errAssetTypeNotSet, err) } d, err := DeployDepth("test", c, asset.Spot) if err != nil { t.Fatal(err) } if d == nil { t.Fatal("depth ptr shall not be nill") } } func TestCreateNewOrderbook(t *testing.T) { c, err := currency.NewPairFromStrings("BTC", "USD") if err != nil { t.Fatal(err) } base := &Base{ Pair: c, Asks: []Item{{Price: 100, Amount: 10}}, Bids: []Item{{Price: 200, Amount: 10}}, Exchange: "testCreateNewOrderbook", Asset: asset.Spot, } err = base.Process() if err != nil { t.Fatal(err) } result, err := Get("testCreateNewOrderbook", c, asset.Spot) if err != nil { t.Fatal("TestCreateNewOrderbook failed to create new orderbook", err) } if !result.Pair.Equal(c) { t.Fatal("TestCreateNewOrderbook result pair is incorrect") } a, b := result.TotalAsksAmount() if a != 10 && b != 1000 { t.Fatal("TestCreateNewOrderbook CalculateTotalAsks value is incorrect") } a, b = result.TotalBidsAmount() if a != 10 && b != 2000 { t.Fatal("TestCreateNewOrderbook CalculateTotalBids value is incorrect") } } func TestProcessOrderbook(t *testing.T) { c, err := currency.NewPairFromStrings("BTC", "USD") if err != nil { t.Fatal(err) } base := Base{ Asks: []Item{{Price: 100, Amount: 10}}, Bids: []Item{{Price: 200, Amount: 10}}, Exchange: "ProcessOrderbook", } // test for empty pair base.Pair = currency.EMPTYPAIR err = base.Process() if err == nil { t.Error("empty pair should throw an err") } // test for empty asset type base.Pair = c err = base.Process() if err == nil { t.Error("empty asset type should throw an err") } // now process a valid orderbook base.Asset = asset.Spot err = base.Process() if err != nil { t.Error("unexpected result: ", err) } result, err := Get("ProcessOrderbook", c, asset.Spot) if err != nil { t.Fatal("TestProcessOrderbook failed to create new orderbook") } if !result.Pair.Equal(c) { t.Fatal("TestProcessOrderbook result pair is incorrect") } // now test for processing a pair with a different quote currency c, err = currency.NewPairFromStrings("BTC", "GBP") if err != nil { t.Fatal(err) } base.Pair = c err = base.Process() if err != nil { t.Error("Process() error", err) } result, err = Get("ProcessOrderbook", c, asset.Spot) if err != nil { t.Fatal("TestProcessOrderbook failed to retrieve new orderbook") } if !result.Pair.Equal(c) { t.Fatal("TestProcessOrderbook result pair is incorrect") } // now test for processing a pair which has a different base currency c, err = currency.NewPairFromStrings("LTC", "GBP") if err != nil { t.Fatal(err) } base.Pair = c err = base.Process() if err != nil { t.Error("Process() error", err) } result, err = Get("ProcessOrderbook", c, asset.Spot) if err != nil { t.Fatal("TestProcessOrderbook failed to retrieve new orderbook") } if !result.Pair.Equal(c) { t.Fatal("TestProcessOrderbook result pair is incorrect") } base.Asks = []Item{{Price: 200, Amount: 200}} base.Asset = asset.Spot err = base.Process() if err != nil { t.Error("Process() error", err) } result, err = Get("ProcessOrderbook", c, asset.Spot) if err != nil { t.Fatal("TestProcessOrderbook failed to retrieve new orderbook") } a, b := result.TotalAsksAmount() if a != 200 && b != 40000 { t.Fatal("TestProcessOrderbook CalculateTotalsAsks incorrect values") } base.Bids = []Item{{Price: 420, Amount: 200}} base.Exchange = "Blah" base.Asset = asset.CoinMarginedFutures err = base.Process() if err != nil { t.Error("Process() error", err) } _, err = Get("Blah", c, asset.CoinMarginedFutures) if err != nil { t.Fatal("TestProcessOrderbook failed to create new orderbook") } if a != 200 && b != 84000 { t.Fatal("TestProcessOrderbook CalculateTotalsBids incorrect values") } type quick struct { Name string P currency.Pair Bids []Item Asks []Item } var testArray []quick _ = rand.NewSource(time.Now().Unix()) var wg sync.WaitGroup var m sync.Mutex var catastrophicFailure bool for i := 0; i < 500; i++ { m.Lock() if catastrophicFailure { m.Unlock() break } m.Unlock() wg.Add(1) go func() { newName := "Exchange" + strconv.FormatInt(rand.Int63(), 10) //nolint:gosec // no need to import crypo/rand for testing newPairs := currency.NewPair(currency.NewCode("BTC"+strconv.FormatInt(rand.Int63(), 10)), currency.NewCode("USD"+strconv.FormatInt(rand.Int63(), 10))) //nolint:gosec // no need to import crypo/rand for testing asks := []Item{{Price: rand.Float64(), Amount: rand.Float64()}} //nolint:gosec // no need to import crypo/rand for testing bids := []Item{{Price: rand.Float64(), Amount: rand.Float64()}} //nolint:gosec // no need to import crypo/rand for testing base := &Base{ Pair: newPairs, Asks: asks, Bids: bids, Exchange: newName, Asset: asset.Spot, } m.Lock() err = base.Process() if err != nil { t.Error(err) catastrophicFailure = true m.Unlock() wg.Done() return } testArray = append(testArray, quick{Name: newName, P: newPairs, Bids: bids, Asks: asks}) m.Unlock() wg.Done() }() } wg.Wait() if catastrophicFailure { t.Fatal("Process() error", err) } for _, test := range testArray { wg.Add(1) fatalErr := false go func(q quick) { result, err := Get(q.Name, q.P, asset.Spot) if err != nil { fatalErr = true return } if result.Asks[0] != q.Asks[0] { t.Error("TestProcessOrderbook failed bad values") } if result.Bids[0] != q.Bids[0] { t.Error("TestProcessOrderbook failed bad values") } wg.Done() }(test) if fatalErr { t.Fatal("TestProcessOrderbook failed to retrieve new orderbook") } } wg.Wait() } func deployUnorderedSlice() Items { var items []Item for i := 0; i < 1000; i++ { items = append(items, Item{Amount: 1, Price: rand.Float64(), ID: rand.Int63()}) //nolint:gosec // Not needed in tests } return items } func TestSorting(t *testing.T) { var b Base b.VerifyOrderbook = true b.Asks = deployUnorderedSlice() err := b.Verify() if !errors.Is(err, errPriceOutOfOrder) { t.Fatalf("error expected %v received %v", errPriceOutOfOrder, err) } b.Asks.SortAsks() err = b.Verify() if err != nil { t.Fatal(err) } b.Bids = deployUnorderedSlice() err = b.Verify() if !errors.Is(err, errPriceOutOfOrder) { t.Fatalf("error expected %v received %v", errPriceOutOfOrder, err) } b.Bids.SortBids() err = b.Verify() if err != nil { t.Fatal(err) } } func deploySliceOrdered() Items { var items []Item for i := 0; i < 1000; i++ { items = append(items, Item{Amount: 1, Price: float64(i + 1), ID: rand.Int63()}) //nolint:gosec // Not needed in tests } return items } func TestReverse(t *testing.T) { var b Base b.VerifyOrderbook = true if b.Bids = deploySliceOrdered(); len(b.Bids) != 1000 { t.Fatal("incorrect length") } err := b.Verify() if !errors.Is(err, errPriceOutOfOrder) { t.Fatalf("error expected %v received %v", errPriceOutOfOrder, err) } b.Bids.Reverse() err = b.Verify() if err != nil { t.Fatal(err) } b.Asks = append(b.Bids[:0:0], b.Bids...) //nolint:gocritic // Short hand err = b.Verify() if !errors.Is(err, errPriceOutOfOrder) { t.Fatalf("error expected %v received %v", errPriceOutOfOrder, err) } b.Asks.Reverse() err = b.Verify() if err != nil { t.Fatal(err) } } // 705985 1856 ns/op 0 B/op 0 allocs/op func BenchmarkReverse(b *testing.B) { s := deploySliceOrdered() if len(s) != 1000 { b.Fatal("incorrect length") } for i := 0; i < b.N; i++ { s.Reverse() } } // 20209 56385 ns/op 49189 B/op 2 allocs/op func BenchmarkSortAsksDecending(b *testing.B) { s := deploySliceOrdered() for i := 0; i < b.N; i++ { //nolint: gocritic ts := append(s[:0:0], s...) ts.SortAsks() } } // 14924 79199 ns/op 49206 B/op 3 allocs/op func BenchmarkSortBidsAscending(b *testing.B) { s := deploySliceOrdered() s.Reverse() for i := 0; i < b.N; i++ { //nolint: gocritic ts := append(s[:0:0], s...) ts.SortBids() } } // 9842 133761 ns/op 49194 B/op 2 allocs/op func BenchmarkSortAsksStandard(b *testing.B) { s := deployUnorderedSlice() for i := 0; i < b.N; i++ { //nolint: gocritic ts := append(s[:0:0], s...) ts.SortAsks() } } // 7058 155057 ns/op 49214 B/op 3 allocs/op func BenchmarkSortBidsStandard(b *testing.B) { s := deployUnorderedSlice() for i := 0; i < b.N; i++ { //nolint: gocritic ts := append(s[:0:0], s...) ts.SortBids() } } // 20565 57001 ns/op 49188 B/op 2 allocs/op func BenchmarkSortAsksAscending(b *testing.B) { s := deploySliceOrdered() for i := 0; i < b.N; i++ { //nolint: gocritic ts := append(s[:0:0], s...) ts.SortAsks() } } // 12565 97257 ns/op 49208 B/op 3 allocs/op func BenchmarkSortBidsDescending(b *testing.B) { s := deploySliceOrdered() s.Reverse() for i := 0; i < b.N; i++ { //nolint: gocritic ts := append(s[:0:0], s...) ts.SortBids() } } // 124867 8480 ns/op 49152 B/op 1 allocs/op func BenchmarkDuplicatingSlice(b *testing.B) { s := deploySliceOrdered() for i := 0; i < b.N; i++ { _ = append(s[:0:0], s...) } } // 122998 8441 ns/op 49152 B/op 1 allocs/op func BenchmarkCopySlice(b *testing.B) { s := deploySliceOrdered() for i := 0; i < b.N; i++ { cpy := make([]Item, len(s)) copy(cpy, s) } }