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74f4df63487914a91c1bb0508d7e46793232ab4d
gocryptotrader/exchanges/orderbook/calculator_test.go
Ryan O'Hara-Reid 4cd4fb06b4 orderbook: Refactor package structure for simplicity and efficiency (#1465) 
* initial purge and benchmarks proof before rn overhaul

* rn LinkedList -> Tranche(s) and purge references

* roll out acrost exchanges

* linterino

* rn silly billy label

* linter strikes AAAAAGAIN!

* fix some things

* rm comment

* Add actual comparison from master to branch benchmark for sorting algorithms

* lower case via git mv YAAY!

* drop code

* convert type name

* glorious: nits

---------

Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io>
2024-05-14 15:51:34 +10:00

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package orderbook
import (
"errors"
"math"
"strings"
"testing"
"github.com/thrasher-corp/gocryptotrader/currency"
)
func testSetup() Base {
return Base{
Exchange: "a",
Pair: currency.NewPair(currency.BTC, currency.USD),
Asks: []Tranche{
{Price: 7000, Amount: 1},
{Price: 7001, Amount: 2},
},
Bids: []Tranche{
{Price: 6999, Amount: 1},
{Price: 6998, Amount: 2},
},
}
}
func TestWhaleBomb(t *testing.T) {
t.Parallel()
b := testSetup()
_, err := b.WhaleBomb(-1, true)
if !errors.Is(err, errPriceTargetInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, errPriceTargetInvalid)
}
result, err := b.WhaleBomb(7001, true) // <- This price should not be wiped out on the book.
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 7000)
}
if result.MaximumPrice != 7001 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001)
}
if result.MinimumPrice != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000)
}
if result.PercentageGainOrLoss != 0.014285714285714287 {
t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, 0.014285714285714287)
}
result, err = b.WhaleBomb(7000.5, true) // <- Slot between prices will lift to next ask tranche
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
if result.Amount != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 7000)
}
if result.MaximumPrice != 7001 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001)
}
if result.MinimumPrice != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000)
}
if result.PercentageGainOrLoss != 0.014285714285714287 {
t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, 0.014285714285714287)
}
result, err = b.WhaleBomb(7002, true) // <- exceed available quotations
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if !strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatal("expected status to contain liquidity warning")
}
result, err = b.WhaleBomb(7000, true) // <- Book should not move
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 0 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 0)
}
if result.MaximumPrice != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7000)
}
if result.MinimumPrice != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000)
}
if result.PercentageGainOrLoss != 0 {
t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, 0)
}
_, err = b.WhaleBomb(6000, true)
if !errors.Is(err, errCannotShiftPrice) {
t.Fatalf("received: '%v' but expected: '%v'", err, errCannotShiftPrice)
}
_, err = b.WhaleBomb(-1, false)
if !errors.Is(err, errPriceTargetInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, errPriceTargetInvalid)
}
result, err = b.WhaleBomb(6998, false) // <- This price should not be wiped out on the book.
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 1 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 1)
}
if result.MaximumPrice != 6999 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999)
}
if result.MinimumPrice != 6998 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998)
}
if result.PercentageGainOrLoss != -0.014287755393627661 {
t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, -0.014287755393627661)
}
result, err = b.WhaleBomb(6998.5, false) // <- Slot between prices will drop to next bid tranche
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
if result.Amount != 1 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 1)
}
if result.MaximumPrice != 6999 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999)
}
if result.MinimumPrice != 6998 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998)
}
if result.PercentageGainOrLoss != -0.014287755393627661 {
t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, -0.014287755393627661)
}
result, err = b.WhaleBomb(6997, false) // <- exceed available quotations
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if !strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatal("expected status to contain liquidity warning")
}
result, err = b.WhaleBomb(6999, false) // <- Book should not move
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 0 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 0)
}
if result.MaximumPrice != 6999 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999)
}
if result.MinimumPrice != 6999 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6999)
}
if result.PercentageGainOrLoss != 0 {
t.Fatalf("received: '%v' but expected: '%v'", result.PercentageGainOrLoss, 0)
}
_, err = b.WhaleBomb(7500, false)
if !errors.Is(err, errCannotShiftPrice) {
t.Fatalf("received: '%v' but expected: '%v'", err, errCannotShiftPrice)
}
}
func TestSimulateOrder(t *testing.T) {
t.Parallel()
b := testSetup()
// Invalid
_, err := b.SimulateOrder(-8000, true)
if !errors.Is(err, errQuoteAmountInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, errQuoteAmountInvalid)
}
_, err = (&Base{}).SimulateOrder(1337, true)
if !errors.Is(err, errNoLiquidity) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity)
}
// Full liquidity used
result, err := b.SimulateOrder(21002, true)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 3 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 3)
}
if result.MinimumPrice != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000)
}
if result.MaximumPrice != 7001 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001)
}
if !strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, fullLiquidityUsageWarning)
}
if len(result.Orders) != 2 {
t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 2)
}
// Exceed full liquidity used
result, err = b.SimulateOrder(21003, true)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 3 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 3)
}
if result.MinimumPrice != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000)
}
if result.MaximumPrice != 7001 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001)
}
if !strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, fullLiquidityUsageWarning)
}
if len(result.Orders) != 2 {
t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 2)
}
// First tranche
result, err = b.SimulateOrder(7000, true)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 1 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 1)
}
if result.MinimumPrice != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000)
}
if result.MaximumPrice != 7001 { // A full tranche is wiped out and this one should be preserved.
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001)
}
if strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING")
}
if len(result.Orders) != 1 {
t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 1)
}
// Half of first tranch
result, err = b.SimulateOrder(3500, true)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != .5 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, .5)
}
if result.MinimumPrice != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000)
}
if result.MaximumPrice != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7000)
}
if strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING")
}
if len(result.Orders) != 1 {
t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 1)
}
if result.Orders[0].Amount != 0.5 {
t.Fatalf("received: '%v' but expected: '%v'", result.Orders[0].Amount, 0.5)
}
// Half of second tranche
result, err = b.SimulateOrder(14001, true)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 2 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 2)
}
if result.MinimumPrice != 7000 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 7000)
}
if result.MaximumPrice != 7001 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 7001)
}
if strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING")
}
if len(result.Orders) != 2 {
t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 1)
}
if result.Orders[1].Amount != 1 {
t.Fatalf("received: '%v' but expected: '%v'", result.Orders[1].Amount, 1)
}
// Hitting bids
// Invalid
_, err = (&Base{}).SimulateOrder(-1, false)
if !errors.Is(err, errBaseAmountInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, errBaseAmountInvalid)
}
_, err = (&Base{}).SimulateOrder(2, false)
if !errors.Is(err, errNoLiquidity) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity)
}
// Full liquidity used
result, err = b.SimulateOrder(3, false)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 20995 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 20995)
}
if result.MaximumPrice != 6999 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999)
}
if result.MinimumPrice != 6998 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998)
}
if !strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, fullLiquidityUsageWarning)
}
if len(result.Orders) != 2 {
t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 2)
}
// Exceed full liquidity used
result, err = b.SimulateOrder(3.1, false)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 20995 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 20995)
}
if result.MaximumPrice != 6999 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999)
}
if result.MinimumPrice != 6998 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998)
}
if !strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, fullLiquidityUsageWarning)
}
if len(result.Orders) != 2 {
t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 2)
}
// First tranche
result, err = b.SimulateOrder(1, false)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 6999 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 6999)
}
if result.MaximumPrice != 6999 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999)
}
if result.MinimumPrice != 6998 { // A full tranche is wiped out and this one should be preserved.
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998)
}
if strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING")
}
if len(result.Orders) != 1 {
t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 1)
}
// Half of first tranch
result, err = b.SimulateOrder(.5, false)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 3499.5 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 3499.5)
}
if result.MinimumPrice != 6999 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6999)
}
if result.MaximumPrice != 6999 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999)
}
if strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING")
}
if len(result.Orders) != 1 {
t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 1)
}
if result.Orders[0].Amount != 0.5 {
t.Fatalf("received: '%v' but expected: '%v'", result.Orders[0].Amount, 0.5)
}
// Half of second tranche
result, err = b.SimulateOrder(2, false)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if result.Amount != 13997 {
t.Fatalf("received: '%v' but expected: '%v'", result.Amount, 13997)
}
if result.MaximumPrice != 6999 {
t.Fatalf("received: '%v' but expected: '%v'", result.MaximumPrice, 6999)
}
if result.MinimumPrice != 6998 {
t.Fatalf("received: '%v' but expected: '%v'", result.MinimumPrice, 6998)
}
if strings.Contains(result.Status, fullLiquidityUsageWarning) {
t.Fatalf("received: '%v' but expected string to contain: '%v'", result.Status, "NO WARNING")
}
if len(result.Orders) != 2 {
t.Fatalf("received: '%v' but expected: '%v'", len(result.Orders), 2)
}
if result.Orders[1].Amount != 1 {
t.Fatalf("received: '%v' but expected: '%v'", result.Orders[1].Amount, 1)
}
}
func TestGetAveragePrice(t *testing.T) {
var b Base
b.Exchange = "Binance"
cp, err := currency.NewPairFromString("ETH-USDT")
if err != nil {
t.Error(err)
}
b.Pair = cp
b.Bids = []Tranche{}
_, err = b.GetAveragePrice(false, 5)
if errors.Is(errNotEnoughLiquidity, err) {
t.Error("expected: %w, received %w", errNotEnoughLiquidity, err)
}
b = Base{}
b.Pair = cp
b.Asks = []Tranche{
{Amount: 5, Price: 1},
{Amount: 5, Price: 2},
{Amount: 5, Price: 3},
{Amount: 5, Price: 4},
}
_, err = b.GetAveragePrice(true, -2)
if !errors.Is(err, errAmountInvalid) {
t.Errorf("expected: %v, received %v", errAmountInvalid, err)
}
avgPrice, err := b.GetAveragePrice(true, 15)
if err != nil {
t.Error(err)
}
if avgPrice != 2 {
t.Errorf("avg price calculation failed: expected 2, received %f", avgPrice)
}
avgPrice, err = b.GetAveragePrice(true, 18)
if err != nil {
t.Error(err)
}
if math.Round(avgPrice*1000)/1000 != 2.333 {
t.Errorf("avg price calculation failed: expected 2.333, received %f", math.Round(avgPrice*1000)/1000)
}
_, err = b.GetAveragePrice(true, 25)
if !errors.Is(err, errNotEnoughLiquidity) {
t.Errorf("expected: %v, received %v", errNotEnoughLiquidity, err)
}
}
func TestFindNominalAmount(t *testing.T) {
b := Tranches{
{Amount: 5, Price: 1},
{Amount: 5, Price: 2},
{Amount: 5, Price: 3},
{Amount: 5, Price: 4},
}
nomAmt, remainingAmt := b.FindNominalAmount(15)
if nomAmt != 30 && remainingAmt != 0 {
t.Errorf("invalid return")
}
b = Tranches{}
nomAmt, remainingAmt = b.FindNominalAmount(15)
if nomAmt != 0 && remainingAmt != 30 {
t.Errorf("invalid return")
}
}
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