mirror of
https://github.com/d0zingcat/gocryptotrader.git
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c892f492a9
* buffer/orderbook: shift orderbook update logic from buffer package to orderbook package * Update exchanges/orderbook/depth.go Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com> * linter: fixes * spelling: fix * samboss: add in some todos * sammy nit: add unlock on error * sammy nits: rm ptr to slice field buffer in orderbookHolder * sammy nits: Add more coverage bro * sammy nits: even more coverage * gk: nits on commentary * gk: nits change sort.Slice to slices.SortFunc * gk: fix commentary on buffer clearing * gk: nits fin * linter: fix * Update exchange/websocket/buffer/buffer.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchange/websocket/buffer/buffer.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/tranches.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/orderbook.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchange/websocket/buffer/buffer_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchange/websocket/buffer/buffer_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/incremental_updates.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * gk: refresh action types and names * gk nits: consolidate error vars and naming * gk nits: more name changes * gk nits; buffer tests update * gk nits: error var names change * linter: FIX * it gets inlined but there is an alloc * rn field in TODO * Update exchanges/binance/binance_websocket.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * Update exchanges/binance/binance_websocket.go Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io> * orderbook: shift verify/validate funcs to validate.go and rn Verify() -> Validate() * orderbook: validate even in presence of checksum and allow cowboy mode * buffer; fix test * kraken: fix futures orderbook by reversing incoming bids * okx: change default spread pair * Update exchanges/orderbook/validate.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/validate.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/validate.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/validate.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/orderbook/validate.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * gk: initial nits * rn fields V(v)erifyorderbook to V(v)alidateOrderbook * buffer/orderbook: nilguard in validate and change method receiver w -> o --------- Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com> Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> Co-authored-by: Adrian Gallagher <adrian.gallagher@thrasher.io>
1857 lines
45 KiB
Go
1857 lines
45 KiB
Go
package orderbook
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import (
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"fmt"
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"testing"
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"time"
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"github.com/stretchr/testify/assert"
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"github.com/stretchr/testify/require"
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)
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var ask = Levels{
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{Price: 1337, Amount: 1},
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{Price: 1338, Amount: 1},
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{Price: 1339, Amount: 1},
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{Price: 1340, Amount: 1},
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{Price: 1341, Amount: 1},
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{Price: 1342, Amount: 1},
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{Price: 1343, Amount: 1},
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{Price: 1344, Amount: 1},
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{Price: 1345, Amount: 1},
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{Price: 1346, Amount: 1},
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{Price: 1347, Amount: 1},
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{Price: 1348, Amount: 1},
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{Price: 1349, Amount: 1},
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{Price: 1350, Amount: 1},
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{Price: 1351, Amount: 1},
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{Price: 1352, Amount: 1},
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{Price: 1353, Amount: 1},
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{Price: 1354, Amount: 1},
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{Price: 1355, Amount: 1},
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{Price: 1356, Amount: 1},
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}
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var bid = Levels{
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{Price: 1336, Amount: 1},
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{Price: 1335, Amount: 1},
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{Price: 1334, Amount: 1},
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{Price: 1333, Amount: 1},
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{Price: 1332, Amount: 1},
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{Price: 1331, Amount: 1},
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{Price: 1330, Amount: 1},
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{Price: 1329, Amount: 1},
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{Price: 1328, Amount: 1},
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{Price: 1327, Amount: 1},
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{Price: 1326, Amount: 1},
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{Price: 1325, Amount: 1},
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{Price: 1324, Amount: 1},
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{Price: 1323, Amount: 1},
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{Price: 1322, Amount: 1},
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{Price: 1321, Amount: 1},
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{Price: 1320, Amount: 1},
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{Price: 1319, Amount: 1},
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{Price: 1318, Amount: 1},
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{Price: 1317, Amount: 1},
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}
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// Display displays depth content for tests
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func (l Levels) display() {
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for x := range l {
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fmt.Printf("Level: %+v %p \n", l[x], &l[x])
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}
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fmt.Println()
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}
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func TestLoad(t *testing.T) {
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list := askLevels{}
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Check(t, list, 0, 0, 0)
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list.load(Levels{
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{Price: 1, Amount: 1},
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{Price: 3, Amount: 1},
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{Price: 5, Amount: 1},
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{Price: 7, Amount: 1},
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{Price: 9, Amount: 1},
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{Price: 11, Amount: 1},
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})
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Check(t, list, 6, 36, 6)
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list.load(Levels{
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{Price: 1, Amount: 1},
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{Price: 3, Amount: 1},
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{Price: 5, Amount: 1},
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})
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Check(t, list, 3, 9, 3)
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list.load(Levels{
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{Price: 1, Amount: 1},
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{Price: 3, Amount: 1},
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{Price: 5, Amount: 1},
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{Price: 7, Amount: 1},
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})
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Check(t, list, 4, 16, 4)
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// purge entire list
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list.load(nil)
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Check(t, list, 0, 0, 0)
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}
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// 27906781 42.4 ns/op 0 B/op 0 allocs/op (old)
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// 84119028 13.87 ns/op 0 B/op 0 allocs/op (new)
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func BenchmarkLoad(b *testing.B) {
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ts := Levels{}
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for b.Loop() {
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ts.load(ask)
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}
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}
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func TestUpdateInsertByPrice(t *testing.T) {
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a := askLevels{}
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asksSnapshot := Levels{
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{Price: 1, Amount: 1},
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{Price: 3, Amount: 1},
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{Price: 5, Amount: 1},
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{Price: 7, Amount: 1},
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{Price: 9, Amount: 1},
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{Price: 11, Amount: 1},
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}
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a.load(asksSnapshot)
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// Update one instance with matching price
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a.updateInsertByPrice(Levels{{Price: 1, Amount: 2}}, 0)
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Check(t, a, 7, 37, 6)
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// Insert at head
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a.updateInsertByPrice(Levels{
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{Price: 0.5, Amount: 2},
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}, 0)
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Check(t, a, 9, 38, 7)
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// Insert at tail
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a.updateInsertByPrice(Levels{
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{Price: 12, Amount: 2},
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}, 0)
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Check(t, a, 11, 62, 8)
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// Insert between price and up to and beyond max allowable depth level
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a.updateInsertByPrice(Levels{
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{Price: 11.5, Amount: 2},
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{Price: 10.5, Amount: 2},
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{Price: 13, Amount: 2},
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}, 10)
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Check(t, a, 15, 106, 10)
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// delete at tail
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a.updateInsertByPrice(Levels{{Price: 12, Amount: 0}}, 0)
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Check(t, a, 13, 82, 9)
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// delete at mid
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a.updateInsertByPrice(Levels{{Price: 7, Amount: 0}}, 0)
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Check(t, a, 12, 75, 8)
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// delete at head
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a.updateInsertByPrice(Levels{{Price: 0.5, Amount: 0}}, 0)
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Check(t, a, 10, 74, 7)
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// purge if liquidity plunges to zero
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a.load(nil)
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// rebuild everything again
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a.updateInsertByPrice(Levels{
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{Price: 1, Amount: 1},
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{Price: 3, Amount: 1},
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{Price: 5, Amount: 1},
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{Price: 7, Amount: 1},
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{Price: 9, Amount: 1},
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{Price: 11, Amount: 1},
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}, 0)
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Check(t, a, 6, 36, 6)
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b := bidLevels{}
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bidsSnapshot := Levels{
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{Price: 11, Amount: 1},
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{Price: 9, Amount: 1},
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{Price: 7, Amount: 1},
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{Price: 5, Amount: 1},
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{Price: 3, Amount: 1},
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{Price: 1, Amount: 1},
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}
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b.load(bidsSnapshot)
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// Update one instance with matching price
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b.updateInsertByPrice(Levels{{Price: 11, Amount: 2}}, 0)
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Check(t, b, 7, 47, 6)
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// Insert at head
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b.updateInsertByPrice(Levels{{Price: 12, Amount: 2}}, 0)
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Check(t, b, 9, 71, 7)
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// Insert at tail
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b.updateInsertByPrice(Levels{{Price: 0.5, Amount: 2}}, 0)
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Check(t, b, 11, 72, 8)
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// Insert between price and up to and beyond max allowable depth level
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b.updateInsertByPrice(Levels{
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{Price: 11.5, Amount: 2},
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{Price: 10.5, Amount: 2},
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{Price: 13, Amount: 2},
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}, 10)
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Check(t, b, 15, 141, 10)
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// Insert between price and up to and beyond max allowable depth level
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b.updateInsertByPrice(Levels{{Price: 1, Amount: 0}}, 0)
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Check(t, b, 14, 140, 9)
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// delete at mid
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b.updateInsertByPrice(Levels{{Price: 10.5, Amount: 0}}, 0)
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Check(t, b, 12, 119, 8)
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// delete at head
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b.updateInsertByPrice(Levels{{Price: 13, Amount: 0}}, 0)
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Check(t, b, 10, 93, 7)
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// purge if liquidity plunges to zero
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b.load(nil)
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// rebuild everything again
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b.updateInsertByPrice(Levels{
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{Price: 1, Amount: 1},
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{Price: 3, Amount: 1},
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{Price: 5, Amount: 1},
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{Price: 7, Amount: 1},
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{Price: 9, Amount: 1},
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{Price: 11, Amount: 1},
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}, 0)
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Check(t, b, 6, 36, 6)
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}
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// 134830672 9.83 ns/op 0 B/op 0 allocs/op (old)
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// 206689897 5.761 ns/op 0 B/op 0 allocs/op (new)
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func BenchmarkUpdateInsertByPrice_Amend(b *testing.B) {
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a := askLevels{}
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a.load(ask)
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updates := Levels{
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{
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Price: 1337, // Amend
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Amount: 2,
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},
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{
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Price: 1337, // Amend
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Amount: 1,
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},
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}
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for b.Loop() {
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a.updateInsertByPrice(updates, 0)
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}
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}
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// 49763002 24.9 ns/op 0 B/op 0 allocs/op (old)
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// 25662849 45.32 ns/op 0 B/op 0 allocs/op (new)
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func BenchmarkUpdateInsertByPrice_Insert_Delete(b *testing.B) {
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a := askLevels{}
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a.load(ask)
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updates := Levels{
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{
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Price: 1337.5, // Insert
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Amount: 2,
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},
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{
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Price: 1337.5, // Delete
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Amount: 0,
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},
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}
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for b.Loop() {
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a.updateInsertByPrice(updates, 0)
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}
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}
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func TestUpdateByID(t *testing.T) {
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a := askLevels{}
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asksSnapshot := Levels{
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{Price: 1, Amount: 1, ID: 1},
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{Price: 3, Amount: 1, ID: 3},
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{Price: 5, Amount: 1, ID: 5},
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{Price: 7, Amount: 1, ID: 7},
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{Price: 9, Amount: 1, ID: 9},
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{Price: 11, Amount: 1, ID: 11},
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}
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a.load(asksSnapshot)
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err := a.updateByID(Levels{
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{Price: 1, Amount: 1, ID: 1},
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{Price: 3, Amount: 1, ID: 3},
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{Price: 5, Amount: 1, ID: 5},
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{Price: 7, Amount: 1, ID: 7},
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{Price: 9, Amount: 1, ID: 9},
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{Price: 11, Amount: 1, ID: 11},
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})
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if err != nil {
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t.Fatal(err)
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}
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Check(t, a, 6, 36, 6)
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err = a.updateByID(Levels{
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{Price: 11, Amount: 1, ID: 1337},
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})
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require.ErrorIs(t, err, errIDCannotBeMatched)
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err = a.updateByID(Levels{ // Simulate Bitmex updating
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{Price: 0, Amount: 1337, ID: 3},
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})
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require.NoError(t, err)
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if got := a.retrieve(2); len(got) != 2 || got[1].Price == 0 {
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t.Fatal("price should not be replaced with zero")
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}
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if got := a.retrieve(3); len(got) != 3 || got[1].Amount != 1337 {
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t.Fatal("unexpected value for update")
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}
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if got := a.retrieve(1000); len(got) != 6 {
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t.Fatal("unexpected value for update")
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}
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}
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// 46043871 25.9 ns/op 0 B/op 0 allocs/op (old)
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// 63445401 18.51 ns/op 0 B/op 0 allocs/op (new)
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func BenchmarkUpdateByID(b *testing.B) {
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asks := Levels{}
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asksSnapshot := Levels{
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{Price: 1, Amount: 1, ID: 1},
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{Price: 3, Amount: 1, ID: 3},
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{Price: 5, Amount: 1, ID: 5},
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{Price: 7, Amount: 1, ID: 7},
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{Price: 9, Amount: 1, ID: 9},
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{Price: 11, Amount: 1, ID: 11},
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}
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asks.load(asksSnapshot)
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for b.Loop() {
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err := asks.updateByID(asksSnapshot)
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if err != nil {
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b.Fatal(err)
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}
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}
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}
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func TestDeleteByID(t *testing.T) {
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a := askLevels{}
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asksSnapshot := Levels{
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{Price: 1, Amount: 1, ID: 1},
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{Price: 3, Amount: 1, ID: 3},
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{Price: 5, Amount: 1, ID: 5},
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{Price: 7, Amount: 1, ID: 7},
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{Price: 9, Amount: 1, ID: 9},
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{Price: 11, Amount: 1, ID: 11},
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}
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a.load(asksSnapshot)
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// Delete at head
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err := a.deleteByID(Levels{{Price: 1, Amount: 1, ID: 1}}, false)
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if err != nil {
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t.Fatal(err)
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}
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Check(t, a, 5, 35, 5)
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// Delete at tail
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err = a.deleteByID(Levels{{Price: 1, Amount: 1, ID: 11}}, false)
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if err != nil {
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t.Fatal(err)
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}
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Check(t, a, 4, 24, 4)
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// Delete in middle
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err = a.deleteByID(Levels{{Price: 1, Amount: 1, ID: 5}}, false)
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if err != nil {
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t.Fatal(err)
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}
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Check(t, a, 3, 19, 3)
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// Intentional error
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err = a.deleteByID(Levels{{Price: 11, Amount: 1, ID: 1337}}, false)
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require.ErrorIs(t, err, errIDCannotBeMatched)
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// Error bypass
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err = a.deleteByID(Levels{{Price: 11, Amount: 1, ID: 1337}}, true)
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if err != nil {
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t.Fatal(err)
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}
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}
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// 26724331 44.69 ns/op 0 B/op 0 allocs/op
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func BenchmarkDeleteByID(b *testing.B) {
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asks := Levels{}
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asksSnapshot := Levels{
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{Price: 1, Amount: 1, ID: 1},
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{Price: 3, Amount: 1, ID: 3},
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{Price: 5, Amount: 1, ID: 5},
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{Price: 7, Amount: 1, ID: 7},
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{Price: 9, Amount: 1, ID: 9},
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{Price: 11, Amount: 1, ID: 11},
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}
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asks.load(asksSnapshot)
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for b.Loop() {
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err := asks.deleteByID(asksSnapshot, false)
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if err != nil {
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b.Fatal(err)
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}
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asks.load(asksSnapshot) // reset
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}
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}
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|
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func TestUpdateInsertByIDAsk(t *testing.T) {
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a := askLevels{}
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asksSnapshot := Levels{
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{Price: 1, Amount: 1, ID: 1},
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{Price: 3, Amount: 1, ID: 3},
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{Price: 5, Amount: 1, ID: 5},
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{Price: 7, Amount: 1, ID: 7},
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{Price: 9, Amount: 1, ID: 9},
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{Price: 11, Amount: 1, ID: 11},
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}
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a.load(asksSnapshot)
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// Update one instance with matching ID
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err := a.updateInsertByID(Levels{{Price: 1, Amount: 2, ID: 1}})
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if err != nil {
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t.Fatal(err)
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}
|
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Check(t, a, 7, 37, 6)
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|
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// Reset
|
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a.load(asksSnapshot)
|
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|
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// Update all instances with matching ID in order
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err = a.updateInsertByID(Levels{
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{Price: 1, Amount: 2, ID: 1},
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{Price: 3, Amount: 2, ID: 3},
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{Price: 5, Amount: 2, ID: 5},
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{Price: 7, Amount: 2, ID: 7},
|
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{Price: 9, Amount: 2, ID: 9},
|
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{Price: 11, Amount: 2, ID: 11},
|
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})
|
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if err != nil {
|
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t.Fatal(err)
|
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}
|
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|
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Check(t, a, 12, 72, 6)
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|
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// Update all instances with matching ID in backwards
|
|
err = a.updateInsertByID(Levels{
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 5, Amount: 2, ID: 5},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 12, 72, 6)
|
|
|
|
// Update all instances with matching ID all over the ship
|
|
err = a.updateInsertByID(Levels{
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 5, Amount: 2, ID: 5},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 12, 72, 6)
|
|
|
|
// Update all instances move one before ID in middle
|
|
err = a.updateInsertByID(Levels{
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 2, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 12, 66, 6)
|
|
|
|
// Update all instances move one before ID at head
|
|
err = a.updateInsertByID(Levels{
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: .5, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 12, 63, 6)
|
|
|
|
// Reset
|
|
a.load(asksSnapshot)
|
|
|
|
// Update all instances move one after ID
|
|
err = a.updateInsertByID(Levels{
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 8, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 12, 78, 6)
|
|
|
|
// Reset
|
|
a.load(asksSnapshot)
|
|
|
|
// Update all instances move one after ID to tail
|
|
err = a.updateInsertByID(Levels{
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 12, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 12, 86, 6)
|
|
|
|
// Update all instances then pop new instance
|
|
err = a.updateInsertByID(Levels{
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 12, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
{Price: 10, Amount: 2, ID: 10},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 14, 106, 7)
|
|
|
|
// Reset
|
|
a.load(asksSnapshot)
|
|
|
|
// Update all instances pop at head
|
|
err = a.updateInsertByID(Levels{
|
|
{Price: 0.5, Amount: 2, ID: 0},
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 12, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 14, 87, 7)
|
|
|
|
// bookmark head and move to mid
|
|
err = a.updateInsertByID(Levels{{Price: 7.5, Amount: 2, ID: 0}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 14, 101, 7)
|
|
|
|
// bookmark head and move to tail
|
|
err = a.updateInsertByID(Levels{{Price: 12.5, Amount: 2, ID: 1}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 14, 124, 7)
|
|
|
|
// move tail location to head
|
|
err = a.updateInsertByID(Levels{{Price: 2.5, Amount: 2, ID: 1}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 14, 104, 7)
|
|
|
|
// move tail location to mid
|
|
err = a.updateInsertByID(Levels{{Price: 8, Amount: 2, ID: 5}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 14, 96, 7)
|
|
|
|
// insert at tail dont match
|
|
err = a.updateInsertByID(Levels{{Price: 30, Amount: 2, ID: 1234}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 16, 156, 8)
|
|
|
|
// insert between last and 2nd last
|
|
err = a.updateInsertByID(Levels{{Price: 12, Amount: 2, ID: 12345}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 18, 180, 9)
|
|
|
|
// readjust at end
|
|
err = a.updateInsertByID(Levels{{Price: 29, Amount: 3, ID: 1234}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 19, 207, 9)
|
|
|
|
// readjust further and decrease price past tail
|
|
err = a.updateInsertByID(Levels{{Price: 31, Amount: 3, ID: 1234}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 19, 213, 9)
|
|
|
|
// purge
|
|
a.load(nil)
|
|
|
|
// insert with no liquidity and jumbled
|
|
err = a.updateInsertByID(Levels{
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 0.5, Amount: 2, ID: 0},
|
|
{Price: 12, Amount: 2, ID: 5},
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 14, 87, 7)
|
|
}
|
|
|
|
// 21614455 81.74 ns/op 0 B/op 0 allocs/op
|
|
func BenchmarkUpdateInsertByID_asks(b *testing.B) {
|
|
asks := Levels{}
|
|
asksSnapshot := Levels{
|
|
{Price: 1, Amount: 1, ID: 1},
|
|
{Price: 3, Amount: 1, ID: 3},
|
|
{Price: 5, Amount: 1, ID: 5},
|
|
{Price: 7, Amount: 1, ID: 7},
|
|
{Price: 9, Amount: 1, ID: 9},
|
|
{Price: 11, Amount: 1, ID: 11},
|
|
}
|
|
asks.load(asksSnapshot)
|
|
|
|
for b.Loop() {
|
|
err := asks.updateInsertByID(asksSnapshot, askCompare)
|
|
if err != nil {
|
|
b.Fatal(err)
|
|
}
|
|
}
|
|
}
|
|
|
|
func TestUpdateInsertByIDBids(t *testing.T) {
|
|
b := bidLevels{}
|
|
bidsSnapshot := Levels{
|
|
{Price: 11, Amount: 1, ID: 11},
|
|
{Price: 9, Amount: 1, ID: 9},
|
|
{Price: 7, Amount: 1, ID: 7},
|
|
{Price: 5, Amount: 1, ID: 5},
|
|
{Price: 3, Amount: 1, ID: 3},
|
|
{Price: 1, Amount: 1, ID: 1},
|
|
}
|
|
b.load(bidsSnapshot)
|
|
|
|
// Update one instance with matching ID
|
|
err := b.updateInsertByID(Levels{{Price: 1, Amount: 2, ID: 1}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 7, 37, 6)
|
|
|
|
// Reset
|
|
b.load(bidsSnapshot)
|
|
|
|
// Update all instances with matching ID in order
|
|
err = b.updateInsertByID(Levels{
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 5, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 12, 72, 6)
|
|
|
|
// Update all instances with matching ID in backwards
|
|
err = b.updateInsertByID(Levels{
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 5, Amount: 2, ID: 5},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 12, 72, 6)
|
|
|
|
// Update all instances with matching ID all over the ship
|
|
err = b.updateInsertByID(Levels{
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 5, Amount: 2, ID: 5},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 12, 72, 6)
|
|
|
|
// Update all instances move one before ID in middle
|
|
err = b.updateInsertByID(Levels{
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 2, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 12, 66, 6)
|
|
|
|
// Update all instances move one before ID at head
|
|
err = b.updateInsertByID(Levels{
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: .5, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 12, 63, 6)
|
|
|
|
// Reset
|
|
b.load(bidsSnapshot)
|
|
|
|
// Update all instances move one after ID
|
|
err = b.updateInsertByID(Levels{
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 8, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 12, 78, 6)
|
|
|
|
// Reset
|
|
b.load(bidsSnapshot)
|
|
|
|
// Update all instances move one after ID to tail
|
|
err = b.updateInsertByID(Levels{
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 12, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 12, 86, 6)
|
|
|
|
// Update all instances then pop new instance
|
|
err = b.updateInsertByID(Levels{
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 12, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
{Price: 10, Amount: 2, ID: 10},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 14, 106, 7)
|
|
|
|
// Reset
|
|
b.load(bidsSnapshot)
|
|
|
|
// Update all instances pop at tail
|
|
err = b.updateInsertByID(Levels{
|
|
{Price: 0.5, Amount: 2, ID: 0},
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 12, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 14, 87, 7)
|
|
|
|
// bookmark head and move to mid
|
|
err = b.updateInsertByID(Levels{{Price: 9.5, Amount: 2, ID: 5}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 14, 82, 7)
|
|
|
|
// bookmark head and move to tail
|
|
err = b.updateInsertByID(Levels{{Price: 0.25, Amount: 2, ID: 11}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 14, 60.5, 7)
|
|
|
|
// move tail location to head
|
|
err = b.updateInsertByID(Levels{{Price: 10, Amount: 2, ID: 11}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 14, 80, 7)
|
|
|
|
// move tail location to mid
|
|
err = b.updateInsertByID(Levels{{Price: 7.5, Amount: 2, ID: 0}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 14, 94, 7)
|
|
|
|
// insert at head dont match
|
|
err = b.updateInsertByID(Levels{{Price: 30, Amount: 2, ID: 1234}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 16, 154, 8)
|
|
|
|
// insert between last and 2nd last
|
|
err = b.updateInsertByID(Levels{{Price: 1.5, Amount: 2, ID: 12345}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
Check(t, b, 18, 157, 9)
|
|
|
|
// readjust at end
|
|
err = b.updateInsertByID(Levels{{Price: 1, Amount: 3, ID: 1}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
Check(t, b, 19, 158, 9)
|
|
|
|
// readjust further and decrease price past tail
|
|
err = b.updateInsertByID(Levels{{Price: .9, Amount: 3, ID: 1}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
Check(t, b, 19, 157.7, 9)
|
|
|
|
// purge
|
|
b.load(nil)
|
|
|
|
// insert with no liquidity and jumbled
|
|
err = b.updateInsertByID(Levels{
|
|
{Price: 0.5, Amount: 2, ID: 0},
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 12, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 14, 87, 7)
|
|
}
|
|
|
|
// 20328886 59.94 ns/op 0 B/op 0 allocs/op
|
|
func BenchmarkUpdateInsertByID_bids(b *testing.B) {
|
|
bids := Levels{}
|
|
bidsSnapshot := Levels{
|
|
{Price: 0.5, Amount: 2, ID: 0},
|
|
{Price: 1, Amount: 2, ID: 1},
|
|
{Price: 3, Amount: 2, ID: 3},
|
|
{Price: 12, Amount: 2, ID: 5},
|
|
{Price: 7, Amount: 2, ID: 7},
|
|
{Price: 9, Amount: 2, ID: 9},
|
|
{Price: 11, Amount: 2, ID: 11},
|
|
}
|
|
bids.load(bidsSnapshot)
|
|
|
|
for b.Loop() {
|
|
err := bids.updateInsertByID(bidsSnapshot, bidCompare)
|
|
if err != nil {
|
|
b.Fatal(err)
|
|
}
|
|
}
|
|
}
|
|
|
|
func TestInsertUpdatesBid(t *testing.T) {
|
|
b := bidLevels{}
|
|
bidsSnapshot := Levels{
|
|
{Price: 11, Amount: 1, ID: 11},
|
|
{Price: 9, Amount: 1, ID: 9},
|
|
{Price: 7, Amount: 1, ID: 7},
|
|
{Price: 5, Amount: 1, ID: 5},
|
|
{Price: 3, Amount: 1, ID: 3},
|
|
{Price: 1, Amount: 1, ID: 1},
|
|
}
|
|
b.load(bidsSnapshot)
|
|
|
|
err := b.insertUpdates(Levels{
|
|
{Price: 11, Amount: 1, ID: 11},
|
|
{Price: 9, Amount: 1, ID: 9},
|
|
{Price: 7, Amount: 1, ID: 7},
|
|
{Price: 5, Amount: 1, ID: 5},
|
|
{Price: 3, Amount: 1, ID: 3},
|
|
{Price: 1, Amount: 1, ID: 1},
|
|
})
|
|
require.ErrorIs(t, err, errCollisionDetected)
|
|
|
|
Check(t, b, 6, 36, 6)
|
|
|
|
// Insert at head
|
|
err = b.insertUpdates(Levels{{Price: 12, Amount: 1, ID: 11}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 7, 48, 7)
|
|
|
|
// Insert at tail
|
|
err = b.insertUpdates(Levels{{Price: 0.5, Amount: 1, ID: 12}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 8, 48.5, 8)
|
|
|
|
// Insert at mid
|
|
err = b.insertUpdates(Levels{{Price: 5.5, Amount: 1, ID: 13}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 9, 54, 9)
|
|
|
|
// purge
|
|
b.load(nil)
|
|
|
|
// Add one at head
|
|
err = b.insertUpdates(Levels{{Price: 5.5, Amount: 1, ID: 13}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, b, 1, 5.5, 1)
|
|
}
|
|
|
|
func TestInsertUpdatesAsk(t *testing.T) {
|
|
a := askLevels{}
|
|
askSnapshot := Levels{
|
|
{Price: 1, Amount: 1, ID: 1},
|
|
{Price: 3, Amount: 1, ID: 3},
|
|
{Price: 5, Amount: 1, ID: 5},
|
|
{Price: 7, Amount: 1, ID: 7},
|
|
{Price: 9, Amount: 1, ID: 9},
|
|
{Price: 11, Amount: 1, ID: 11},
|
|
}
|
|
a.load(askSnapshot)
|
|
|
|
err := a.insertUpdates(Levels{
|
|
{Price: 11, Amount: 1, ID: 11},
|
|
{Price: 9, Amount: 1, ID: 9},
|
|
{Price: 7, Amount: 1, ID: 7},
|
|
{Price: 5, Amount: 1, ID: 5},
|
|
{Price: 3, Amount: 1, ID: 3},
|
|
{Price: 1, Amount: 1, ID: 1},
|
|
})
|
|
require.ErrorIs(t, err, errCollisionDetected)
|
|
|
|
Check(t, a, 6, 36, 6)
|
|
|
|
// Insert at tail
|
|
err = a.insertUpdates(Levels{{Price: 12, Amount: 1, ID: 11}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 7, 48, 7)
|
|
|
|
// Insert at head
|
|
err = a.insertUpdates(Levels{{Price: 0.5, Amount: 1, ID: 12}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 8, 48.5, 8)
|
|
|
|
// Insert at mid
|
|
err = a.insertUpdates(Levels{{Price: 5.5, Amount: 1, ID: 13}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 9, 54, 9)
|
|
|
|
// purge
|
|
a.load(nil)
|
|
|
|
// Add one at head
|
|
err = a.insertUpdates(Levels{{Price: 5.5, Amount: 1, ID: 13}})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
|
|
Check(t, a, 1, 5.5, 1)
|
|
}
|
|
|
|
// check checks depth values after an update has taken place
|
|
func Check(t *testing.T, depth any, liquidity, value float64, expectedLen int) {
|
|
t.Helper()
|
|
b, isBid := depth.(bidLevels)
|
|
a, isAsk := depth.(askLevels)
|
|
|
|
var l Levels
|
|
switch {
|
|
case isBid:
|
|
l = b.Levels
|
|
case isAsk:
|
|
l = a.Levels
|
|
default:
|
|
t.Fatal("value passed in is not of type bids or asks")
|
|
}
|
|
|
|
liquidityTotal, valueTotal := l.amount()
|
|
if liquidityTotal != liquidity {
|
|
l.display()
|
|
t.Fatalf("mismatched liquidity expecting %v but received %v", liquidity, liquidityTotal)
|
|
}
|
|
|
|
if valueTotal != value {
|
|
l.display()
|
|
t.Fatalf("mismatched total value expecting %v but received %v", value, valueTotal)
|
|
}
|
|
|
|
if len(l) != expectedLen {
|
|
l.display()
|
|
t.Fatalf("mismatched expected length count expecting %v but received %v", expectedLen, len(l))
|
|
}
|
|
|
|
if len(l) == 0 {
|
|
return
|
|
}
|
|
|
|
var price float64
|
|
for x := range l {
|
|
switch {
|
|
case price == 0:
|
|
price = l[x].Price
|
|
case isBid && price < l[x].Price:
|
|
l.display()
|
|
t.Fatal("Bid pricing out of order should be descending")
|
|
case isAsk && price > l[x].Price:
|
|
l.display()
|
|
t.Fatal("Ask pricing out of order should be ascending")
|
|
default:
|
|
price = l[x].Price
|
|
}
|
|
}
|
|
}
|
|
|
|
func TestAmount(t *testing.T) {
|
|
a := askLevels{}
|
|
askSnapshot := Levels{
|
|
{Price: 1, Amount: 1, ID: 1},
|
|
{Price: 3, Amount: 1, ID: 3},
|
|
{Price: 5, Amount: 1, ID: 5},
|
|
{Price: 7, Amount: 1, ID: 7},
|
|
{Price: 9, Amount: 1, ID: 9},
|
|
{Price: 11, Amount: 1, ID: 11},
|
|
}
|
|
a.load(askSnapshot)
|
|
|
|
liquidity, value := a.amount()
|
|
if liquidity != 6 {
|
|
t.Fatalf("incorrect liquidity calculation expected 6 but received %f", liquidity)
|
|
}
|
|
|
|
if value != 36 {
|
|
t.Fatalf("incorrect value calculation expected 36 but received %f", value)
|
|
}
|
|
}
|
|
|
|
func TestGetMovementByBaseAmount(t *testing.T) {
|
|
t.Parallel()
|
|
cases := []struct {
|
|
Name string
|
|
BaseAmount float64
|
|
ReferencePrice float64
|
|
BidLiquidity Levels
|
|
ExpectedNominal float64
|
|
ExpectedImpact float64
|
|
ExpectedCost float64
|
|
ExpectedError error
|
|
}{
|
|
{
|
|
Name: "no amount",
|
|
ExpectedError: errBaseAmountInvalid,
|
|
},
|
|
{
|
|
Name: "no reference price",
|
|
BaseAmount: 1,
|
|
ExpectedError: errInvalidReferencePrice,
|
|
},
|
|
{
|
|
Name: "not enough liquidity to service quote amount",
|
|
BaseAmount: 1,
|
|
ReferencePrice: 1000,
|
|
ExpectedError: errNoLiquidity,
|
|
},
|
|
{
|
|
Name: "thrasher test",
|
|
BidLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}},
|
|
BaseAmount: 10,
|
|
ReferencePrice: 10000,
|
|
ExpectedNominal: 0.8999999999999999,
|
|
ExpectedImpact: 2,
|
|
ExpectedCost: 900,
|
|
},
|
|
{
|
|
Name: "consume first level",
|
|
BidLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}},
|
|
BaseAmount: 2,
|
|
ReferencePrice: 10000,
|
|
ExpectedNominal: 0,
|
|
ExpectedImpact: 1,
|
|
ExpectedCost: 0,
|
|
},
|
|
{
|
|
Name: "consume most of first level",
|
|
BidLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}},
|
|
BaseAmount: 1.5,
|
|
ReferencePrice: 10000,
|
|
ExpectedNominal: 0,
|
|
ExpectedImpact: 0,
|
|
ExpectedCost: 0,
|
|
},
|
|
{
|
|
Name: "consume full liquidity",
|
|
BidLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}},
|
|
BaseAmount: 12,
|
|
ReferencePrice: 10000,
|
|
ExpectedNominal: 1.0833333333333395,
|
|
ExpectedImpact: FullLiquidityExhaustedPercentage,
|
|
ExpectedCost: 1300,
|
|
},
|
|
}
|
|
|
|
for _, tt := range cases {
|
|
t.Run(tt.Name, func(t *testing.T) {
|
|
t.Parallel()
|
|
depth := NewDepth(id)
|
|
err := depth.LoadSnapshot(&Book{Bids: tt.BidLiquidity, LastUpdated: time.Now(), LastPushed: time.Now(), RestSnapshot: true})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
movement, err := depth.bidLevels.getMovementByBase(tt.BaseAmount, tt.ReferencePrice, false)
|
|
require.ErrorIs(t, err, tt.ExpectedError)
|
|
|
|
if movement == nil {
|
|
return
|
|
}
|
|
if movement.NominalPercentage != tt.ExpectedNominal {
|
|
t.Fatalf("nominal received: '%v' but expected: '%v'",
|
|
movement.NominalPercentage, tt.ExpectedNominal)
|
|
}
|
|
|
|
if movement.ImpactPercentage != tt.ExpectedImpact {
|
|
t.Fatalf("impact received: '%v' but expected: '%v'",
|
|
movement.ImpactPercentage, tt.ExpectedImpact)
|
|
}
|
|
|
|
if movement.SlippageCost != tt.ExpectedCost {
|
|
t.Fatalf("cost received: '%v' but expected: '%v'",
|
|
movement.SlippageCost, tt.ExpectedCost)
|
|
}
|
|
})
|
|
}
|
|
}
|
|
|
|
func assertMovement(tb testing.TB, expected, movement *Movement) {
|
|
tb.Helper()
|
|
assert.InDelta(tb, expected.Sold, movement.Sold, accuracy10dp, "Sold should be correct")
|
|
assert.InDelta(tb, expected.Purchased, movement.Purchased, accuracy10dp, "Purchased should be correct")
|
|
assert.InDelta(tb, expected.AverageOrderCost, movement.AverageOrderCost, accuracy10dp, "AverageOrderCost should be correct")
|
|
assert.InDelta(tb, expected.StartPrice, movement.StartPrice, accuracy10dp, "StartPrice should be correct")
|
|
assert.InDelta(tb, expected.EndPrice, movement.EndPrice, accuracy10dp, "EndPrice should be correct")
|
|
assert.InDelta(tb, expected.NominalPercentage, movement.NominalPercentage, accuracy10dp, "NominalPercentage should be correct")
|
|
assert.Equal(tb, expected.FullBookSideConsumed, movement.FullBookSideConsumed, "FullBookSideConsumed should be correct")
|
|
}
|
|
|
|
func TestGetBaseAmountFromNominalSlippage(t *testing.T) {
|
|
t.Parallel()
|
|
cases := []struct {
|
|
Name string
|
|
NominalSlippage float64
|
|
ReferencePrice float64
|
|
BidLiquidity Levels
|
|
ExpectedShift *Movement
|
|
ExpectedError error
|
|
}{
|
|
{
|
|
Name: "invalid slippage",
|
|
NominalSlippage: -1,
|
|
ExpectedError: errInvalidNominalSlippage,
|
|
},
|
|
{
|
|
Name: "invalid slippage - larger than 100%",
|
|
NominalSlippage: 101,
|
|
ExpectedError: errInvalidSlippageCannotExceed100,
|
|
},
|
|
{
|
|
Name: "no reference price",
|
|
NominalSlippage: 1,
|
|
ExpectedError: errInvalidReferencePrice,
|
|
},
|
|
{
|
|
Name: "no liquidity to service quote amount",
|
|
NominalSlippage: 1,
|
|
ReferencePrice: 1000,
|
|
ExpectedError: errNoLiquidity,
|
|
},
|
|
{
|
|
Name: "thrasher test",
|
|
BidLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}},
|
|
NominalSlippage: 1,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 11,
|
|
Purchased: 108900,
|
|
AverageOrderCost: 9900,
|
|
NominalPercentage: 1,
|
|
StartPrice: 10000,
|
|
EndPrice: 9800,
|
|
},
|
|
},
|
|
{
|
|
Name: "consume first level - take one amount out of second",
|
|
BidLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}},
|
|
NominalSlippage: 0.33333333333334,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 3.0000000000000275,
|
|
Purchased: 29900.00000000027,
|
|
AverageOrderCost: 9966.666666666664,
|
|
NominalPercentage: 0.33333333333334,
|
|
StartPrice: 10000,
|
|
EndPrice: 9900,
|
|
},
|
|
},
|
|
{
|
|
Name: "consume full liquidity",
|
|
BidLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}},
|
|
NominalSlippage: 10,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 12,
|
|
Purchased: 118700,
|
|
AverageOrderCost: 9891.666666666666,
|
|
NominalPercentage: 1.0833333333333395,
|
|
StartPrice: 10000,
|
|
EndPrice: 9800,
|
|
FullBookSideConsumed: true,
|
|
},
|
|
},
|
|
{
|
|
Name: "scotts lovely slippery slippage requirements",
|
|
BidLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}},
|
|
NominalSlippage: 0.00000000000000000000000000000000000000000000000000000000000000000000000000000000001,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 2,
|
|
Purchased: 20000,
|
|
AverageOrderCost: 10000,
|
|
StartPrice: 10000,
|
|
EndPrice: 10000,
|
|
},
|
|
},
|
|
}
|
|
|
|
for _, tt := range cases {
|
|
t.Run(tt.Name, func(t *testing.T) {
|
|
t.Parallel()
|
|
depth := NewDepth(id)
|
|
err := depth.LoadSnapshot(&Book{Bids: tt.BidLiquidity, LastUpdated: time.Now(), LastPushed: time.Now(), RestSnapshot: true})
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
base, err := depth.bidLevels.hitBidsByNominalSlippage(tt.NominalSlippage, tt.ReferencePrice)
|
|
if tt.ExpectedError != nil {
|
|
assert.ErrorIs(t, err, tt.ExpectedError, "Should error correctly")
|
|
} else {
|
|
assertMovement(t, tt.ExpectedShift, base)
|
|
}
|
|
})
|
|
}
|
|
}
|
|
|
|
// IsEqual is a tester function for comparison.
|
|
func (m *Movement) IsEqual(that *Movement) bool {
|
|
if m == nil || that == nil {
|
|
return m == nil && that == nil
|
|
}
|
|
return m.FullBookSideConsumed == that.FullBookSideConsumed &&
|
|
m.Sold == that.Sold &&
|
|
m.Purchased == that.Purchased &&
|
|
m.NominalPercentage == that.NominalPercentage &&
|
|
m.ImpactPercentage == that.ImpactPercentage &&
|
|
m.EndPrice == that.EndPrice &&
|
|
m.StartPrice == that.StartPrice &&
|
|
m.AverageOrderCost == that.AverageOrderCost
|
|
}
|
|
|
|
func TestGetBaseAmountFromImpact(t *testing.T) {
|
|
t.Parallel()
|
|
cases := []struct {
|
|
Name string
|
|
ImpactSlippage float64
|
|
ReferencePrice float64
|
|
BidLiquidity Levels
|
|
ExpectedShift *Movement
|
|
ExpectedError error
|
|
}{
|
|
{
|
|
Name: "invalid slippage",
|
|
ExpectedError: errInvalidImpactSlippage,
|
|
},
|
|
{
|
|
Name: "invalid slippage - exceed 100%",
|
|
ImpactSlippage: 101,
|
|
ExpectedError: errInvalidSlippageCannotExceed100,
|
|
},
|
|
{
|
|
Name: "no reference price",
|
|
ImpactSlippage: 1,
|
|
ExpectedError: errInvalidReferencePrice,
|
|
},
|
|
{
|
|
Name: "no liquidity",
|
|
ImpactSlippage: 1,
|
|
ReferencePrice: 10000,
|
|
ExpectedError: errNoLiquidity,
|
|
},
|
|
{
|
|
Name: "thrasher test",
|
|
BidLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}},
|
|
ImpactSlippage: 1,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 2,
|
|
Purchased: 20000,
|
|
ImpactPercentage: 1,
|
|
AverageOrderCost: 10000,
|
|
StartPrice: 10000,
|
|
EndPrice: 9900,
|
|
},
|
|
},
|
|
{
|
|
Name: "consume first level and second level",
|
|
BidLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}},
|
|
ImpactSlippage: 2,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 9,
|
|
Purchased: 89300,
|
|
AverageOrderCost: 9922.222222222223,
|
|
ImpactPercentage: 2,
|
|
StartPrice: 10000,
|
|
EndPrice: 9800,
|
|
},
|
|
},
|
|
{
|
|
Name: "consume full liquidity",
|
|
BidLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 9900, Amount: 7}, {Price: 9800, Amount: 3}},
|
|
ImpactSlippage: 10,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 12,
|
|
Purchased: 118700,
|
|
ImpactPercentage: FullLiquidityExhaustedPercentage,
|
|
AverageOrderCost: 9891.666666666666,
|
|
StartPrice: 10000,
|
|
EndPrice: 9800,
|
|
FullBookSideConsumed: true,
|
|
},
|
|
},
|
|
}
|
|
|
|
for _, tt := range cases {
|
|
t.Run(tt.Name, func(t *testing.T) {
|
|
t.Parallel()
|
|
depth := NewDepth(id)
|
|
err := depth.LoadSnapshot(&Book{Bids: tt.BidLiquidity, LastUpdated: time.Now(), LastPushed: time.Now(), RestSnapshot: true})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
base, err := depth.bidLevels.hitBidsByImpactSlippage(tt.ImpactSlippage, tt.ReferencePrice)
|
|
require.ErrorIs(t, err, tt.ExpectedError)
|
|
|
|
if !base.IsEqual(tt.ExpectedShift) {
|
|
t.Fatalf("%s quote received: '%+v' but expected: '%+v'",
|
|
tt.Name, base, tt.ExpectedShift)
|
|
}
|
|
})
|
|
}
|
|
}
|
|
|
|
func TestGetMovementByQuoteAmount(t *testing.T) {
|
|
t.Parallel()
|
|
cases := []struct {
|
|
Name string
|
|
QuoteAmount float64
|
|
ReferencePrice float64
|
|
AskLiquidity Levels
|
|
ExpectedNominal float64
|
|
ExpectedImpact float64
|
|
ExpectedCost float64
|
|
ExpectedError error
|
|
}{
|
|
{
|
|
Name: "no amount",
|
|
ExpectedError: errQuoteAmountInvalid,
|
|
},
|
|
{
|
|
Name: "no reference price",
|
|
QuoteAmount: 1,
|
|
ExpectedError: errInvalidReferencePrice,
|
|
},
|
|
{
|
|
Name: "not enough liquidity to service quote amount",
|
|
QuoteAmount: 1,
|
|
ReferencePrice: 1000,
|
|
ExpectedError: errNoLiquidity,
|
|
},
|
|
{
|
|
Name: "thrasher test",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
QuoteAmount: 100900,
|
|
ReferencePrice: 10000,
|
|
ExpectedNominal: 0.8999999999999999,
|
|
ExpectedImpact: 2,
|
|
ExpectedCost: 900,
|
|
},
|
|
{
|
|
Name: "consume first level",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
QuoteAmount: 20000,
|
|
ReferencePrice: 10000,
|
|
ExpectedNominal: 0,
|
|
ExpectedImpact: 1,
|
|
ExpectedCost: 0,
|
|
},
|
|
{
|
|
Name: "consume most of first level",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
QuoteAmount: 15000,
|
|
ReferencePrice: 10000,
|
|
ExpectedNominal: 0,
|
|
ExpectedImpact: 0,
|
|
ExpectedCost: 0,
|
|
},
|
|
{
|
|
Name: "consume full liquidity",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
QuoteAmount: 121300,
|
|
ReferencePrice: 10000,
|
|
ExpectedNominal: 1.0833333333333395,
|
|
ExpectedImpact: FullLiquidityExhaustedPercentage,
|
|
ExpectedCost: 1300,
|
|
},
|
|
}
|
|
|
|
for _, tt := range cases {
|
|
t.Run(tt.Name, func(t *testing.T) {
|
|
t.Parallel()
|
|
depth := NewDepth(id)
|
|
err := depth.LoadSnapshot(&Book{Asks: tt.AskLiquidity, LastUpdated: time.Now(), LastPushed: time.Now(), RestSnapshot: true})
|
|
if err != nil {
|
|
t.Fatal(err)
|
|
}
|
|
movement, err := depth.askLevels.getMovementByQuotation(tt.QuoteAmount, tt.ReferencePrice, false)
|
|
require.ErrorIs(t, err, tt.ExpectedError)
|
|
|
|
if movement == nil {
|
|
return
|
|
}
|
|
if movement.NominalPercentage != tt.ExpectedNominal {
|
|
t.Fatalf("nominal received: '%v' but expected: '%v'",
|
|
movement.NominalPercentage, tt.ExpectedNominal)
|
|
}
|
|
|
|
if movement.ImpactPercentage != tt.ExpectedImpact {
|
|
t.Fatalf("impact received: '%v' but expected: '%v'",
|
|
movement.ImpactPercentage, tt.ExpectedImpact)
|
|
}
|
|
|
|
if movement.SlippageCost != tt.ExpectedCost {
|
|
t.Fatalf("cost received: '%v' but expected: '%v'",
|
|
movement.SlippageCost, tt.ExpectedCost)
|
|
}
|
|
})
|
|
}
|
|
}
|
|
|
|
func TestGetQuoteAmountFromNominalSlippage(t *testing.T) {
|
|
t.Parallel()
|
|
cases := []struct {
|
|
Name string
|
|
NominalSlippage float64
|
|
ReferencePrice float64
|
|
AskLiquidity Levels
|
|
ExpectedShift *Movement
|
|
ExpectedError error
|
|
}{
|
|
{
|
|
Name: "invalid slippage",
|
|
NominalSlippage: -1,
|
|
ExpectedError: errInvalidNominalSlippage,
|
|
},
|
|
{
|
|
Name: "no reference price",
|
|
NominalSlippage: 1,
|
|
ExpectedError: errInvalidReferencePrice,
|
|
},
|
|
{
|
|
Name: "no liquidity",
|
|
NominalSlippage: 1,
|
|
ReferencePrice: 10000,
|
|
ExpectedError: errNoLiquidity,
|
|
},
|
|
{
|
|
Name: "consume first level - one amount on second level",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
NominalSlippage: 0.33333333333334,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 30100.000000000276, // <- expected rounding issue
|
|
Purchased: 3.0000000000000275,
|
|
AverageOrderCost: 10033.333333333333333333333333333,
|
|
NominalPercentage: 0.33333333333334,
|
|
StartPrice: 10000,
|
|
EndPrice: 10100,
|
|
},
|
|
},
|
|
{
|
|
Name: "last level total agg meeting 1 percent nominally",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
NominalSlippage: 1,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 111100,
|
|
Purchased: 11,
|
|
AverageOrderCost: 10100,
|
|
NominalPercentage: 1,
|
|
StartPrice: 10000,
|
|
EndPrice: 10200,
|
|
},
|
|
},
|
|
{
|
|
Name: "take full second level",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
NominalSlippage: 0.7777777777777738,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 90700,
|
|
Purchased: 9,
|
|
AverageOrderCost: 10077.777777777777,
|
|
NominalPercentage: 0.7777777777777738,
|
|
StartPrice: 10000,
|
|
EndPrice: 10100,
|
|
},
|
|
},
|
|
{
|
|
Name: "consume full liquidity",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
NominalSlippage: 10,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 121300,
|
|
Purchased: 12,
|
|
AverageOrderCost: 10108.333333333334,
|
|
NominalPercentage: 1.0833333333333395,
|
|
StartPrice: 10000,
|
|
EndPrice: 10200,
|
|
FullBookSideConsumed: true,
|
|
},
|
|
},
|
|
{
|
|
Name: "scotts lovely slippery slippage requirements",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
NominalSlippage: 0.00000000000000000000000000000000000000000000000000000000000000000000000000000000001,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 20000,
|
|
Purchased: 2,
|
|
AverageOrderCost: 10000,
|
|
StartPrice: 10000,
|
|
EndPrice: 10000,
|
|
},
|
|
},
|
|
}
|
|
|
|
for _, tt := range cases {
|
|
t.Run(tt.Name, func(t *testing.T) {
|
|
t.Parallel()
|
|
depth := NewDepth(id)
|
|
err := depth.LoadSnapshot(&Book{Asks: tt.AskLiquidity, LastUpdated: time.Now(), LastPushed: time.Now(), RestSnapshot: true})
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
quote, err := depth.askLevels.liftAsksByNominalSlippage(tt.NominalSlippage, tt.ReferencePrice)
|
|
if tt.ExpectedError != nil {
|
|
assert.ErrorIs(t, err, tt.ExpectedError, "Should error correctly")
|
|
} else {
|
|
assertMovement(t, tt.ExpectedShift, quote)
|
|
}
|
|
})
|
|
}
|
|
}
|
|
|
|
func TestGetQuoteAmountFromImpact(t *testing.T) {
|
|
t.Parallel()
|
|
cases := []struct {
|
|
Name string
|
|
ImpactSlippage float64
|
|
ReferencePrice float64
|
|
AskLiquidity Levels
|
|
ExpectedShift *Movement
|
|
ExpectedError error
|
|
}{
|
|
{
|
|
Name: "invalid slippage",
|
|
ImpactSlippage: -1,
|
|
ExpectedError: errInvalidImpactSlippage,
|
|
},
|
|
{
|
|
Name: "no reference price",
|
|
ImpactSlippage: 1,
|
|
ExpectedError: errInvalidReferencePrice,
|
|
},
|
|
{
|
|
Name: "no liquidity",
|
|
ImpactSlippage: 1,
|
|
ReferencePrice: 1000,
|
|
ExpectedError: errNoLiquidity,
|
|
},
|
|
{
|
|
Name: "thrasher test",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
ImpactSlippage: 1,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 20000,
|
|
Purchased: 2,
|
|
AverageOrderCost: 10000,
|
|
ImpactPercentage: 1,
|
|
StartPrice: 10000,
|
|
EndPrice: 10100,
|
|
},
|
|
},
|
|
{
|
|
Name: "consume first level and second level",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
ImpactSlippage: 2,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 90700,
|
|
Purchased: 9,
|
|
AverageOrderCost: 10077.777777777777777777777777778,
|
|
ImpactPercentage: 2,
|
|
StartPrice: 10000,
|
|
EndPrice: 10200,
|
|
},
|
|
},
|
|
{
|
|
Name: "consume full liquidity",
|
|
AskLiquidity: Levels{{Price: 10000, Amount: 2}, {Price: 10100, Amount: 7}, {Price: 10200, Amount: 3}},
|
|
ImpactSlippage: 10,
|
|
ReferencePrice: 10000,
|
|
ExpectedShift: &Movement{
|
|
Sold: 121300,
|
|
Purchased: 12,
|
|
AverageOrderCost: 10108.333333333333333333333333333,
|
|
ImpactPercentage: FullLiquidityExhaustedPercentage,
|
|
StartPrice: 10000,
|
|
EndPrice: 10200,
|
|
FullBookSideConsumed: true,
|
|
},
|
|
},
|
|
}
|
|
|
|
for _, tt := range cases {
|
|
t.Run(tt.Name, func(t *testing.T) {
|
|
t.Parallel()
|
|
depth := NewDepth(id)
|
|
err := depth.LoadSnapshot(&Book{Asks: tt.AskLiquidity, LastUpdated: time.Now(), LastPushed: time.Now(), RestSnapshot: true})
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
quote, err := depth.askLevels.liftAsksByImpactSlippage(tt.ImpactSlippage, tt.ReferencePrice)
|
|
if tt.ExpectedError != nil {
|
|
assert.ErrorIs(t, err, tt.ExpectedError, "Should error correctly")
|
|
} else {
|
|
assertMovement(t, tt.ExpectedShift, quote)
|
|
}
|
|
})
|
|
}
|
|
}
|
|
|
|
func TestGetHeadPrice(t *testing.T) {
|
|
t.Parallel()
|
|
depth := NewDepth(id)
|
|
_, err := depth.bidLevels.getHeadPriceNoLock()
|
|
require.ErrorIs(t, err, errNoLiquidity)
|
|
_, err = depth.askLevels.getHeadPriceNoLock()
|
|
require.ErrorIs(t, err, errNoLiquidity)
|
|
|
|
err = depth.LoadSnapshot(&Book{Bids: bid, Asks: ask, LastUpdated: time.Now(), LastPushed: time.Now(), RestSnapshot: true})
|
|
require.NoError(t, err, "LoadSnapshot must not error")
|
|
|
|
val, err := depth.bidLevels.getHeadPriceNoLock()
|
|
require.NoError(t, err)
|
|
|
|
if val != 1336 {
|
|
t.Fatal("unexpected value")
|
|
}
|
|
|
|
val, err = depth.askLevels.getHeadPriceNoLock()
|
|
require.NoError(t, err)
|
|
|
|
if val != 1337 {
|
|
t.Fatal("unexpected value", val)
|
|
}
|
|
}
|
|
|
|
func TestFinalizeFields(t *testing.T) {
|
|
m := &Movement{}
|
|
_, err := m.finalizeFields(0, 0, 0, 0, false)
|
|
assert.ErrorIs(t, err, errInvalidCost, "finalizeFields should error when cost is invalid")
|
|
|
|
_, err = m.finalizeFields(1, 0, 0, 0, false)
|
|
assert.ErrorIs(t, err, errInvalidAmount, "finalizeFields should error when amount is invalid")
|
|
|
|
_, err = m.finalizeFields(1, 1, 0, 0, false)
|
|
assert.ErrorIs(t, err, errInvalidHeadPrice, "finalizeFields should error correctly with bad head price")
|
|
|
|
// Test slippage as per https://en.wikipedia.org/wiki/Slippage_(finance)
|
|
mov, err := m.finalizeFields(20000*151.11585, 20000, 151.08, 0, false)
|
|
assert.NoError(t, err, "finalizeFields should not error")
|
|
assert.InDelta(t, 717.0, mov.SlippageCost, 0.000000001, "SlippageCost should be correct")
|
|
}
|
|
|
|
// 8384302 150.9 ns/op 480 B/op 1 allocs/op
|
|
func BenchmarkRetrieve(b *testing.B) {
|
|
asks := Levels{}
|
|
asksSnapshot := Levels{
|
|
{Price: 1, Amount: 1, ID: 1},
|
|
{Price: 3, Amount: 1, ID: 3},
|
|
{Price: 5, Amount: 1, ID: 5},
|
|
{Price: 7, Amount: 1, ID: 7},
|
|
{Price: 9, Amount: 1, ID: 9},
|
|
{Price: 11, Amount: 1, ID: 11},
|
|
}
|
|
asks.load(asksSnapshot)
|
|
|
|
for b.Loop() {
|
|
_ = asks.retrieve(6)
|
|
}
|
|
}
|