mirror of
https://github.com/d0zingcat/gocryptotrader.git
synced 2026-05-21 23:16:49 +00:00
7da745120f
* kline: add weighted price helpers for candles * twap/vwap: basic implementation and hook to rpc for protype * ta: cont implementation. (WIP) * kline: Add tests * kline: add helpers * ta: full impl. * kline: remove support for macd and add in correlation-coefficient handling * rpc: change naming convention * linter: fix * protolinter: fix * linter: ++ * kline: reinstate macd handling after adding in check * glorious: nits * gctcl: linter * Update exchanges/kline/weighted_price.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: nits * glorious: nits v2.0 * kline: fix test * huobi-tests: shift from next quarter to this weeks contracts as they were erroring out in tests. * btcmarkets: update supported kline intervals * zb: fix test * rpcserver: fix bug and tests Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Scott <gloriousCode@users.noreply.github.com>
314 lines
13 KiB
Go
314 lines
13 KiB
Go
package kline
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import (
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"errors"
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"testing"
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"time"
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)
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func TestGetAveragePrice(t *testing.T) {
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t.Parallel()
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c := Candle{}
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if c.GetAveragePrice() != 0 {
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t.Fatal("unexpected value")
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}
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c.High = 20
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if c.GetAveragePrice() != 5 {
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t.Fatal("unexpected value")
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}
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}
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func TestGetAveragePrice_OHLC(t *testing.T) {
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t.Parallel()
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var ohlc *OHLC
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_, err := ohlc.GetAveragePrice(-1)
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if !errors.Is(err, errNilOHLC) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errNilOHLC)
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}
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ohlc = &OHLC{}
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_, err = ohlc.GetAveragePrice(-1)
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if !errors.Is(err, errInvalidElement) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errInvalidElement)
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}
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_, err = ohlc.GetAveragePrice(0)
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if !errors.Is(err, errElementExceedsDataLength) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errElementExceedsDataLength)
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}
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ohlc.High = append(ohlc.High, 20)
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ohlc.Open = append(ohlc.Open, 0)
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ohlc.Low = append(ohlc.Low, 0)
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ohlc.Close = append(ohlc.Close, 0)
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avgPrice, err := ohlc.GetAveragePrice(0)
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if !errors.Is(err, nil) {
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t.Fatalf("received: '%v' but expected: '%v'", err, nil)
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}
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if avgPrice != 5 {
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t.Fatal("unexpected value")
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}
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}
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var twapdataset = []Candle{
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{Time: time.Date(2020, 6, 17, 0, 0, 0, 0, time.UTC), Close: 351.59, Open: 355.15, High: 355.40, Low: 351.09},
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{Time: time.Date(2020, 6, 16, 0, 0, 0, 0, time.UTC), Close: 352.08, Open: 351.46, High: 353.20, Low: 344.72},
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{Time: time.Date(2020, 6, 15, 0, 0, 0, 0, time.UTC), Close: 342.99, Open: 333.25, High: 345.68, Low: 332.58},
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{Time: time.Date(2020, 6, 12, 0, 0, 0, 0, time.UTC), Close: 338.80, Open: 344.72, High: 347.80, Low: 334.22},
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{Time: time.Date(2020, 6, 11, 0, 0, 0, 0, time.UTC), Close: 335.90, Open: 349.31, High: 351.06, Low: 335.48},
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{Time: time.Date(2020, 6, 10, 0, 0, 0, 0, time.UTC), Close: 352.84, Open: 347.90, High: 354.77, Low: 346.09},
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{Time: time.Date(2020, 6, 9, 0, 0, 0, 0, time.UTC), Close: 343.99, Open: 332.14, High: 345.61, Low: 332.01},
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{Time: time.Date(2020, 6, 8, 0, 0, 0, 0, time.UTC), Close: 333.46, Open: 330.25, High: 333.60, Low: 327.32},
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{Time: time.Date(2020, 6, 5, 0, 0, 0, 0, time.UTC), Close: 331.50, Open: 323.35, High: 331.75, Low: 323.23},
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{Time: time.Date(2020, 6, 4, 0, 0, 0, 0, time.UTC), Close: 322.32, Open: 324.39, High: 325.62, Low: 320.78},
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{Time: time.Date(2020, 6, 3, 0, 0, 0, 0, time.UTC), Close: 325.12, Open: 324.66, High: 326.20, Low: 322.30},
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{Time: time.Date(2020, 6, 2, 0, 0, 0, 0, time.UTC), Close: 323.34, Open: 320.75, High: 323.44, Low: 318.93},
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{Time: time.Date(2020, 6, 1, 0, 0, 0, 0, time.UTC), Close: 321.85, Open: 317.75, High: 322.35, Low: 317.21},
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{Time: time.Date(2020, 5, 29, 0, 0, 0, 0, time.UTC), Close: 317.94, Open: 319.25, High: 321.15, Low: 316.47},
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{Time: time.Date(2020, 5, 28, 0, 0, 0, 0, time.UTC), Close: 318.25, Open: 316.77, High: 323.44, Low: 315.63},
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{Time: time.Date(2020, 5, 27, 0, 0, 0, 0, time.UTC), Close: 318.11, Open: 316.14, High: 318.71, Low: 313.09},
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{Time: time.Date(2020, 5, 26, 0, 0, 0, 0, time.UTC), Close: 316.73, Open: 323.50, High: 324.24, Low: 316.50},
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{Time: time.Date(2020, 5, 22, 0, 0, 0, 0, time.UTC), Close: 318.89, Open: 315.77, High: 319.23, Low: 315.35},
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{Time: time.Date(2020, 5, 21, 0, 0, 0, 0, time.UTC), Close: 316.85, Open: 318.66, High: 320.89, Low: 315.87},
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{Time: time.Date(2020, 5, 20, 0, 0, 0, 0, time.UTC), Close: 319.23, Open: 316.68, High: 319.52, Low: 316.20},
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{Time: time.Date(2020, 5, 19, 0, 0, 0, 0, time.UTC), Close: 313.14, Open: 315.03, High: 318.52, Low: 313.01},
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{Time: time.Date(2020, 5, 18, 0, 0, 0, 0, time.UTC), Close: 314.96, Open: 313.17, High: 316.50, Low: 310.32},
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}
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func TestGetTWAP_OHLC(t *testing.T) {
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t.Parallel()
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var ohlc *OHLC
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_, err := ohlc.GetTWAP()
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if !errors.Is(err, errNilOHLC) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errNilOHLC)
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}
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ohlc = &OHLC{}
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_, err = ohlc.GetTWAP()
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if !errors.Is(err, errNoData) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errNoData)
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}
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ohlc.Open = append(ohlc.Open, 20)
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ohlc.High = append(ohlc.High, 20)
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ohlc.Low = append(ohlc.Low, 20)
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ohlc.Close = append(ohlc.Close, 20, 20)
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_, err = ohlc.GetTWAP()
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if !errors.Is(err, errDataLengthMismatch) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errDataLengthMismatch)
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}
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i := Item{}
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i.Candles = twapdataset
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ohlc = i.GetOHLC()
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twap, err := ohlc.GetTWAP()
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if !errors.Is(err, nil) {
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t.Fatalf("received: '%v' but expected: '%v'", err, nil)
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}
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if twap != 328.147840909091 {
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t.Fatal("unexpected value returned from data-set")
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}
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}
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func TestGetTWAP(t *testing.T) {
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t.Parallel()
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candles := Item{}
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if _, err := candles.GetTWAP(); !errors.Is(err, errNoData) {
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t.Fatal(err)
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}
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candles.Candles = twapdataset
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twap, err := candles.GetTWAP()
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if err != nil {
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t.Fatal(err)
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}
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if twap != 328.147840909091 {
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t.Fatal("unexpected value returned from data-set")
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}
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}
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var vwapdataset = []Candle{
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{Time: time.Date(2019, 10, 10, 9, 31, 0, 0, time.UTC), Open: 245.2903, High: 245.516, Low: 244.7652, Close: 244.8702, Volume: 103033},
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{Time: time.Date(2019, 10, 10, 9, 32, 0, 0, time.UTC), Open: 245.0807, High: 245.0807, Low: 244.55, Close: 244.66, Volume: 21168},
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{Time: time.Date(2019, 10, 10, 9, 33, 0, 0, time.UTC), Open: 244.58, High: 245.8, Low: 244.55, Close: 245.6, Volume: 36544},
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{Time: time.Date(2019, 10, 10, 9, 34, 0, 0, time.UTC), Open: 245.7097, High: 246.09, Low: 245.57, Close: 245.92, Volume: 30057},
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{Time: time.Date(2019, 10, 10, 9, 35, 0, 0, time.UTC), Open: 245.62, High: 245.62, Low: 245.62, Close: 245.62, Volume: 26301},
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{Time: time.Date(2019, 10, 10, 9, 36, 0, 0, time.UTC), Open: 245.7126, High: 246.44, Low: 245.7126, Close: 246.188, Volume: 31494},
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{Time: time.Date(2019, 10, 10, 9, 37, 0, 0, time.UTC), Open: 246.46, High: 246.46, Low: 246.45, Close: 246.45, Volume: 24271},
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{Time: time.Date(2019, 10, 10, 9, 38, 0, 0, time.UTC), Open: 246.755, High: 246.755, Low: 246.25, Close: 246.25, Volume: 37951},
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{Time: time.Date(2019, 10, 10, 9, 39, 0, 0, time.UTC), Open: 246.2818, High: 246.655, Low: 246.2818, Close: 246.655, Volume: 15324},
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{Time: time.Date(2019, 10, 10, 9, 40, 0, 0, time.UTC), Open: 246.78, High: 246.78, Low: 246.56, Close: 246.762, Volume: 23285},
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{Time: time.Date(2019, 10, 10, 9, 41, 0, 0, time.UTC), Open: 246.75, High: 246.75, Low: 246.38, Close: 246.5, Volume: 23365},
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{Time: time.Date(2019, 10, 10, 9, 42, 0, 0, time.UTC), Open: 246.17, High: 246.17, Low: 246.17, Close: 246.17, Volume: 16130},
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{Time: time.Date(2019, 10, 10, 9, 43, 0, 0, time.UTC), Open: 246.135, High: 246.135, Low: 245.82, Close: 245.82, Volume: 27227},
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{Time: time.Date(2019, 10, 10, 9, 44, 0, 0, time.UTC), Open: 245.9335, High: 245.9335, Low: 245.91, Close: 245.91, Volume: 14464},
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{Time: time.Date(2019, 10, 10, 9, 45, 0, 0, time.UTC), Open: 246.41, High: 246.41, Low: 246.41, Close: 246.41, Volume: 17156},
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{Time: time.Date(2019, 10, 10, 9, 46, 0, 0, time.UTC), Open: 246.44, High: 246.46, Low: 246.1683, Close: 246.1683, Volume: 23938},
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{Time: time.Date(2019, 10, 10, 9, 47, 0, 0, time.UTC), Open: 246.2857, High: 246.57, Low: 246.2857, Close: 246.57, Volume: 70833},
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{Time: time.Date(2019, 10, 10, 9, 48, 0, 0, time.UTC), Open: 246.6, High: 247.47, Low: 246.6, Close: 247.47, Volume: 59743},
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{Time: time.Date(2019, 10, 10, 9, 49, 0, 0, time.UTC), Open: 247.49, High: 247.65, Low: 247.49, Close: 247.65, Volume: 71995},
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{Time: time.Date(2019, 10, 10, 9, 50, 0, 0, time.UTC), Open: 247.685, High: 247.801, Low: 247.65, Close: 247.69, Volume: 46038},
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{Time: time.Date(2019, 10, 10, 9, 51, 0, 0, time.UTC), Open: 247.95, High: 248.74, Low: 247.95, Close: 248.74, Volume: 103773},
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{Time: time.Date(2019, 10, 10, 9, 52, 0, 0, time.UTC), Open: 248.56, High: 248.56, Low: 247.95, Close: 247.95, Volume: 73810},
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{Time: time.Date(2019, 10, 10, 9, 53, 0, 0, time.UTC), Open: 247.93, High: 247.93, Low: 247.6614, Close: 247.6614, Volume: 29784},
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{Time: time.Date(2019, 10, 10, 9, 54, 0, 0, time.UTC), Open: 247.74, High: 247.76, Low: 247.65, Close: 247.76, Volume: 37138},
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{Time: time.Date(2019, 10, 10, 9, 55, 0, 0, time.UTC), Open: 247.93, High: 248.03, Low: 247.93, Close: 248.03, Volume: 53166},
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{Time: time.Date(2019, 10, 10, 9, 56, 0, 0, time.UTC), Open: 247.91, High: 248.44, Low: 247.91, Close: 248.44, Volume: 40789},
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{Time: time.Date(2019, 10, 10, 9, 57, 0, 0, time.UTC), Open: 248.52, High: 248.52, Low: 248.3154, Close: 248.3154, Volume: 51988},
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{Time: time.Date(2019, 10, 10, 9, 58, 0, 0, time.UTC), Open: 248.4409, High: 248.62, Low: 248.4409, Close: 248.62, Volume: 53405},
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{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},
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{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},
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}
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func TestGetVWAPs(t *testing.T) {
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t.Parallel()
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candles := Item{}
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if _, err := candles.GetVWAPs(); !errors.Is(err, errNoData) {
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t.Fatal(err)
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}
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candles.Candles = vwapdataset
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vwap, err := candles.GetVWAPs()
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if err != nil {
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t.Fatal(err)
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}
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assert(t, vwap[0], 245.05046666666664)
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assert(t, vwap[1], 245.00156932123465)
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assert(t, vwap[2], 245.07320400593073)
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assert(t, vwap[3], 245.19714781780763)
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assert(t, vwap[4], 245.248374356565)
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assert(t, vwap[5], 245.35797872352975)
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assert(t, vwap[6], 245.45540807301208)
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assert(t, vwap[7], 245.57298124760712)
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assert(t, vwap[8], 245.61797546720302)
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assert(t, vwap[9], 245.6901232761351)
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assert(t, vwap[10], 245.7435986712912)
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assert(t, vwap[11], 245.76128302894574)
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assert(t, vwap[12], 245.771994363731)
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assert(t, vwap[13], 245.7768929849006)
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assert(t, vwap[14], 245.80115004533573)
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assert(t, vwap[15], 245.82471633454026)
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assert(t, vwap[16], 245.90964645148168)
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assert(t, vwap[17], 246.0356579876492)
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assert(t, vwap[18], 246.20233204964117)
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assert(t, vwap[19], 246.29892677543359)
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assert(t, vwap[20], 246.57315726207088)
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assert(t, vwap[21], 246.70305234595537)
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assert(t, vwap[22], 246.73669536160304)
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assert(t, vwap[23], 246.7746731036053)
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assert(t, vwap[24], 246.83849361010806)
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assert(t, vwap[25], 246.89338504378165)
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assert(t, vwap[26], 246.96313273581723)
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assert(t, vwap[27], 247.03640100225914)
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assert(t, vwap[28], 247.16505290840146)
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assert(t, vwap[29], 247.23522648930867)
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}
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func TestGetVWAPs_OHLC(t *testing.T) {
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t.Parallel()
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var ohlc *OHLC
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_, err := ohlc.GetVWAPs()
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if !errors.Is(err, errNilOHLC) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errNilOHLC)
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}
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ohlc = &OHLC{}
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_, err = ohlc.GetVWAPs()
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if !errors.Is(err, errNoData) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errNoData)
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}
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ohlc.Open = append(ohlc.Open, 20)
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ohlc.High = append(ohlc.High, 20)
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ohlc.Low = append(ohlc.Low, 20)
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ohlc.Close = append(ohlc.Close, 20, 20)
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_, err = ohlc.GetVWAPs()
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if !errors.Is(err, errDataLengthMismatch) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errDataLengthMismatch)
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}
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ohlc = (&Item{Candles: vwapdataset}).GetOHLC()
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vwap, err := ohlc.GetVWAPs()
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if err != nil {
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t.Fatal(err)
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}
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assert(t, vwap[0], 245.05046666666664)
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assert(t, vwap[1], 245.00156932123465)
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assert(t, vwap[2], 245.07320400593073)
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assert(t, vwap[3], 245.19714781780763)
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assert(t, vwap[4], 245.248374356565)
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assert(t, vwap[5], 245.35797872352975)
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assert(t, vwap[6], 245.45540807301208)
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assert(t, vwap[7], 245.57298124760712)
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assert(t, vwap[8], 245.61797546720302)
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assert(t, vwap[9], 245.6901232761351)
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assert(t, vwap[10], 245.7435986712912)
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assert(t, vwap[11], 245.76128302894574)
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assert(t, vwap[12], 245.771994363731)
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assert(t, vwap[13], 245.7768929849006)
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assert(t, vwap[14], 245.80115004533573)
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assert(t, vwap[15], 245.82471633454026)
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assert(t, vwap[16], 245.90964645148168)
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assert(t, vwap[17], 246.0356579876492)
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assert(t, vwap[18], 246.20233204964117)
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assert(t, vwap[19], 246.29892677543359)
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assert(t, vwap[20], 246.57315726207088)
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assert(t, vwap[21], 246.70305234595537)
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assert(t, vwap[22], 246.73669536160304)
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assert(t, vwap[23], 246.7746731036053)
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assert(t, vwap[24], 246.83849361010806)
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assert(t, vwap[25], 246.89338504378165)
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assert(t, vwap[26], 246.96313273581723)
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assert(t, vwap[27], 247.03640100225914)
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assert(t, vwap[28], 247.16505290840146)
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assert(t, vwap[29], 247.23522648930867)
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}
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func TestGetTypicalPrice_OHLC(t *testing.T) {
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t.Parallel()
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var ohlc *OHLC
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_, err := ohlc.GetTypicalPrice(-1)
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if !errors.Is(err, errNilOHLC) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errNilOHLC)
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}
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ohlc = &OHLC{}
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_, err = ohlc.GetTypicalPrice(-1)
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if !errors.Is(err, errInvalidElement) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errInvalidElement)
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}
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_, err = ohlc.GetTypicalPrice(0)
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if !errors.Is(err, errElementExceedsDataLength) {
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t.Fatalf("received: '%v' but expected: '%v'", err, errElementExceedsDataLength)
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}
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ohlc.High = append(ohlc.High, 15)
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ohlc.Low = append(ohlc.Low, 0)
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ohlc.Close = append(ohlc.Close, 0)
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avgPrice, err := ohlc.GetTypicalPrice(0)
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if !errors.Is(err, nil) {
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t.Fatalf("received: '%v' but expected: '%v'", err, nil)
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}
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if avgPrice != 5 {
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t.Fatal("unexpected value")
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}
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}
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func assert(t *testing.T, received, expected float64) {
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t.Helper()
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if received != expected {
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t.Fatalf("received: '%v' but expected: '%v'", received, expected)
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}
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}
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