mirror of
https://github.com/d0zingcat/gocryptotrader.git
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a9cdbd16f9
* Orderbook: Fix test failures on different arch Fixes floating point inaccuracies on different architectures Moves the depth tests over to table driven tests * Kline: Fix test failures on different arch
912 lines
37 KiB
Go
912 lines
37 KiB
Go
package orderbook
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import (
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"errors"
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"math"
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"reflect"
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"strings"
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"testing"
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"time"
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"github.com/gofrs/uuid"
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"github.com/stretchr/testify/assert"
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"github.com/thrasher-corp/gocryptotrader/currency"
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"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
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)
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var (
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id = uuid.Must(uuid.NewV4())
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accuracy10dp = 1 / math.Pow10(10)
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)
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func TestGetLength(t *testing.T) {
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t.Parallel()
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d := NewDepth(id)
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err := d.Invalidate(nil)
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "Invalidate should error correctly")
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_, err = d.GetAskLength()
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "GetAskLength should error with invalid depth")
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err = d.LoadSnapshot([]Item{{Price: 1337}}, nil, 0, time.Now(), true)
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assert.NoError(t, err, "LoadSnapshot should not error")
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askLen, err := d.GetAskLength()
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assert.NoError(t, err, "GetAskLength should not error")
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assert.Zero(t, askLen, "ask length should be zero")
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d.asks.load([]Item{{Price: 1337}}, d.stack, time.Now())
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askLen, err = d.GetAskLength()
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assert.NoError(t, err, "GetAskLength should not error")
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assert.Equal(t, 1, askLen, "Ask Length should be correct")
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d = NewDepth(id)
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err = d.Invalidate(nil)
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "Invalidate should error correctly")
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_, err = d.GetBidLength()
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "GetBidLength should error with invalid depth")
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err = d.LoadSnapshot(nil, []Item{{Price: 1337}}, 0, time.Now(), true)
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assert.NoError(t, err, "LoadSnapshot should not error")
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bidLen, err := d.GetBidLength()
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assert.NoError(t, err, "GetBidLength should not error")
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assert.Zero(t, bidLen, "bid length should be zero")
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d.bids.load([]Item{{Price: 1337}}, d.stack, time.Now())
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bidLen, err = d.GetBidLength()
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assert.NoError(t, err, "GetBidLength should not error")
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assert.Equal(t, 1, bidLen, "Bid Length should be correct")
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}
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func TestRetrieve(t *testing.T) {
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t.Parallel()
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d := NewDepth(id)
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d.asks.load([]Item{{Price: 1337}}, d.stack, time.Now())
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d.bids.load([]Item{{Price: 1337}}, d.stack, time.Now())
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d.options = options{
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exchange: "THE BIG ONE!!!!!!",
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pair: currency.NewPair(currency.THETA, currency.USD),
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asset: asset.DownsideProfitContract,
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lastUpdated: time.Now(),
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lastUpdateID: 1337,
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priceDuplication: true,
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isFundingRate: true,
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VerifyOrderbook: true,
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restSnapshot: true,
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idAligned: true,
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maxDepth: 10,
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checksumStringRequired: true,
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}
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// If we add anymore options to the options struct later this will complain
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// generally want to return a full carbon copy
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mirrored := reflect.Indirect(reflect.ValueOf(d.options))
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for n := 0; n < mirrored.NumField(); n++ {
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structVal := mirrored.Field(n)
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assert.Falsef(t, structVal.IsZero(), "struct field '%s' not tested", mirrored.Type().Field(n).Name)
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}
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ob, err := d.Retrieve()
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assert.NoError(t, err, "Retrieve should not error")
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assert.Len(t, ob.Asks, 1, "Should have correct Asks")
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assert.Len(t, ob.Bids, 1, "Should have correct Bids")
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assert.Equal(t, 10, ob.MaxDepth, "Should have correct MaxDepth")
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}
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func TestTotalAmounts(t *testing.T) {
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t.Parallel()
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d := NewDepth(id)
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err := d.Invalidate(nil)
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "Invalidate should error correctly")
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_, _, err = d.TotalBidAmounts()
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "TotalBidAmounts should error correctly")
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d.validationError = nil
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liquidity, value, err := d.TotalBidAmounts()
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assert.NoError(t, err, "TotalBidAmounts should not error")
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assert.Zero(t, liquidity, "total bid liquidity should be zero")
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assert.Zero(t, value, "total bid value should be zero")
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err = d.Invalidate(nil)
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "Invalidate should error correctly")
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_, _, err = d.TotalAskAmounts()
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "TotalAskAmounts should error correctly")
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d.validationError = nil
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liquidity, value, err = d.TotalAskAmounts()
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assert.NoError(t, err, "TotalAskAmounts should not error")
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assert.Zero(t, liquidity, "total ask liquidity should be zero")
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assert.Zero(t, value, "total ask value should be zero")
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d.asks.load([]Item{{Price: 1337, Amount: 1}}, d.stack, time.Now())
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d.bids.load([]Item{{Price: 1337, Amount: 10}}, d.stack, time.Now())
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liquidity, value, err = d.TotalBidAmounts()
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assert.NoError(t, err, "TotalBidAmounts should not error")
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assert.Equal(t, 10.0, liquidity, "total bid liquidity should be correct")
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assert.Equal(t, 13370.0, value, "total bid value should be correct")
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liquidity, value, err = d.TotalAskAmounts()
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assert.NoError(t, err, "TotalAskAmounts should not error")
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assert.Equal(t, 1.0, liquidity, "total ask liquidity should be correct")
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assert.Equal(t, 1337.0, value, "total ask value should be correct")
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}
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func TestLoadSnapshot(t *testing.T) {
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t.Parallel()
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d := NewDepth(id)
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err := d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}}, 0, time.Time{}, false)
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assert.ErrorIs(t, err, errLastUpdatedNotSet, "LoadSnapshot should error correctly")
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err = d.LoadSnapshot(Items{{Price: 1337, Amount: 2}}, Items{{Price: 1338, Amount: 10}}, 0, time.Now(), false)
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assert.NoError(t, err, "LoadSnapshot should not error")
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ob, err := d.Retrieve()
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assert.NoError(t, err, "Retrieve should not error")
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assert.Equal(t, 1338.0, ob.Asks[0].Price, "Top ask price should be correct")
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assert.Equal(t, 10.0, ob.Asks[0].Amount, "Top ask amount should be correct")
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assert.Equal(t, 1337.0, ob.Bids[0].Price, "Top bid price should be correct")
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assert.Equal(t, 2.0, ob.Bids[0].Amount, "Top bid amount should be correct")
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}
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func TestInvalidate(t *testing.T) {
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t.Parallel()
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d := NewDepth(id)
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d.exchange = "testexchange"
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d.pair = currency.NewPair(currency.BTC, currency.WABI)
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d.asset = asset.Spot
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err := d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}}, 0, time.Now(), false)
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assert.NoError(t, err, "LoadSnapshot should not error")
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ob, err := d.Retrieve()
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assert.NoError(t, err, "Retrieve should not error")
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assert.NotNil(t, ob, "ob should not be nil")
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testReason := errors.New("random reason")
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err = d.Invalidate(testReason)
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "Invalidate should error correctly")
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_, err = d.Retrieve()
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "Retrieve should error correctly")
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assert.ErrorIs(t, err, testReason, "Invalidate should error correctly")
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d.validationError = nil
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ob, err = d.Retrieve()
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assert.NoError(t, err, "Retrieve should not error")
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assert.Empty(t, ob.Asks, "Orderbook Asks should be flushed")
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assert.Empty(t, ob.Bids, "Orderbook Bids should be flushed")
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}
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func TestUpdateBidAskByPrice(t *testing.T) {
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t.Parallel()
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d := NewDepth(id)
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err := d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1338, Amount: 10, ID: 2}}, 0, time.Now(), false)
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assert.NoError(t, err, "LoadSnapshot should not error")
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err = d.UpdateBidAskByPrice(&Update{})
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assert.ErrorIs(t, err, errLastUpdatedNotSet, "UpdateBidAskByPrice should error correctly")
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err = d.UpdateBidAskByPrice(&Update{UpdateTime: time.Now()})
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assert.NoError(t, err, "UpdateBidAskByPrice should not error")
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updates := &Update{
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Bids: Items{{Price: 1337, Amount: 2, ID: 1}},
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Asks: Items{{Price: 1338, Amount: 3, ID: 2}},
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UpdateID: 1,
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UpdateTime: time.Now(),
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}
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err = d.UpdateBidAskByPrice(updates)
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assert.NoError(t, err, "UpdateBidAskByPrice should not error")
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ob, err := d.Retrieve()
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assert.NoError(t, err, "Retrieve should not error")
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assert.Equal(t, 3.0, ob.Asks[0].Amount, "Asks amount should be correct")
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assert.Equal(t, 2.0, ob.Bids[0].Amount, "Bids amount should be correct")
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updates = &Update{
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Bids: Items{{Price: 1337, Amount: 0, ID: 1}},
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Asks: Items{{Price: 1338, Amount: 0, ID: 2}},
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UpdateID: 2,
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UpdateTime: time.Now(),
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}
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err = d.UpdateBidAskByPrice(updates)
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assert.NoError(t, err, "UpdateBidAskByPrice should not error")
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askLen, err := d.GetAskLength()
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assert.NoError(t, err, "GetAskLength should not error")
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assert.Zero(t, askLen, "Ask Length should be correct")
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bidLen, err := d.GetBidLength()
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assert.NoError(t, err, "GetBidLength should not error")
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assert.Zero(t, bidLen, "Bid Length should be correct")
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}
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func TestDeleteBidAskByID(t *testing.T) {
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t.Parallel()
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d := NewDepth(id)
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err := d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
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assert.NoError(t, err, "LoadSnapshot should not error")
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updates := &Update{
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Bids: Items{{Price: 1337, Amount: 2, ID: 1}},
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Asks: Items{{Price: 1337, Amount: 2, ID: 2}},
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}
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err = d.DeleteBidAskByID(updates, false)
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assert.ErrorIs(t, err, errLastUpdatedNotSet, "DeleteBidAskByID should error correctly")
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updates.UpdateTime = time.Now()
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err = d.DeleteBidAskByID(updates, false)
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assert.NoError(t, err, "DeleteBidAskByID should not error")
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ob, err := d.Retrieve()
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assert.NoError(t, err, "Retrieve should not error")
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assert.Empty(t, ob.Asks, "Asks should be empty")
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assert.Empty(t, ob.Bids, "Bids should be empty")
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updates = &Update{
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Bids: Items{{Price: 1337, Amount: 2, ID: 1}},
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UpdateTime: time.Now(),
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}
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err = d.DeleteBidAskByID(updates, false)
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assert.ErrorIs(t, err, errIDCannotBeMatched, "DeleteBidAskByID should error correctly")
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updates = &Update{
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Asks: Items{{Price: 1337, Amount: 2, ID: 2}},
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UpdateTime: time.Now(),
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}
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err = d.DeleteBidAskByID(updates, false)
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assert.ErrorIs(t, err, errIDCannotBeMatched, "DeleteBidAskByID should error correctly")
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updates = &Update{
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Asks: Items{{Price: 1337, Amount: 2, ID: 2}},
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UpdateTime: time.Now(),
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}
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err = d.DeleteBidAskByID(updates, true)
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assert.NoError(t, err, "DeleteBidAskByID should not error")
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}
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func TestUpdateBidAskByID(t *testing.T) {
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t.Parallel()
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d := NewDepth(id)
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err := d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
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assert.NoError(t, err, "LoadSnapshot should not error")
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updates := &Update{
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Bids: Items{{Price: 1337, Amount: 2, ID: 1}},
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Asks: Items{{Price: 1337, Amount: 2, ID: 2}},
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}
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err = d.UpdateBidAskByID(updates)
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assert.ErrorIs(t, err, errLastUpdatedNotSet, "UpdateBidAskByID should error correctly")
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updates.UpdateTime = time.Now()
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err = d.UpdateBidAskByID(updates)
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assert.NoError(t, err, "UpdateBidAskByID should not error")
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ob, err := d.Retrieve()
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assert.NoError(t, err, "Retrieve should not error")
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assert.Equal(t, 2.0, ob.Asks[0].Amount, "First ask amount should be correct")
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assert.Equal(t, 2.0, ob.Bids[0].Amount, "First bid amount should be correct")
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updates = &Update{
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Bids: Items{{Price: 1337, Amount: 2, ID: 666}},
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UpdateTime: time.Now(),
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}
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// random unmatching IDs
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err = d.UpdateBidAskByID(updates)
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assert.ErrorIs(t, err, errIDCannotBeMatched, "UpdateBidAskByID should error correctly")
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updates = &Update{
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Asks: Items{{Price: 1337, Amount: 2, ID: 69}},
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UpdateTime: time.Now(),
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}
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err = d.UpdateBidAskByID(updates)
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assert.ErrorIs(t, err, errIDCannotBeMatched, "UpdateBidAskByID should error correctly")
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}
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func TestInsertBidAskByID(t *testing.T) {
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t.Parallel()
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d := NewDepth(id)
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err := d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
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assert.NoError(t, err, "LoadSnapshot should not error")
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updates := &Update{
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Asks: Items{{Price: 1337, Amount: 2, ID: 3}},
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}
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err = d.InsertBidAskByID(updates)
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assert.ErrorIs(t, err, errLastUpdatedNotSet, "InsertBidAskByID should error correctly")
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updates.UpdateTime = time.Now()
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err = d.InsertBidAskByID(updates)
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assert.ErrorIs(t, err, errCollisionDetected, "InsertBidAskByID should error correctly on collision")
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err = d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
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assert.NoError(t, err, "LoadSnapshot should not error")
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updates = &Update{
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Bids: Items{{Price: 1337, Amount: 2, ID: 3}},
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UpdateTime: time.Now(),
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}
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err = d.InsertBidAskByID(updates)
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assert.ErrorIs(t, err, errCollisionDetected, "InsertBidAskByID should error correctly on collision")
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err = d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
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assert.NoError(t, err, "LoadSnapshot should not error")
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updates = &Update{
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Bids: Items{{Price: 1338, Amount: 2, ID: 3}},
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Asks: Items{{Price: 1336, Amount: 2, ID: 4}},
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UpdateTime: time.Now(),
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}
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err = d.InsertBidAskByID(updates)
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assert.NoError(t, err, "InsertBidAskByID should not error")
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ob, err := d.Retrieve()
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assert.NoError(t, err, "Retrieve should not error")
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assert.Len(t, ob.Asks, 2, "Should have correct Asks")
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assert.Len(t, ob.Bids, 2, "Should have correct Bids")
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}
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func TestUpdateInsertByID(t *testing.T) {
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t.Parallel()
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d := NewDepth(id)
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err := d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
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assert.NoError(t, err, "LoadSnapshot should not error")
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updates := &Update{
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Bids: Items{{Price: 1338, Amount: 0, ID: 3}},
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Asks: Items{{Price: 1336, Amount: 2, ID: 4}},
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}
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err = d.UpdateInsertByID(updates)
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assert.ErrorIs(t, err, errLastUpdatedNotSet, "UpdateInsertByID should error correctly")
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updates.UpdateTime = time.Now()
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err = d.UpdateInsertByID(updates)
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assert.ErrorIs(t, err, errAmountCannotBeLessOrEqualToZero, "UpdateInsertByID should error correctly")
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// Above will invalidate the book
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_, err = d.Retrieve()
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "Retrieve should error correctly")
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err = d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
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assert.NoError(t, err, "LoadSnapshot should not error")
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updates = &Update{
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Bids: Items{{Price: 1338, Amount: 2, ID: 3}},
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Asks: Items{{Price: 1336, Amount: 0, ID: 4}},
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UpdateTime: time.Now(),
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}
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err = d.UpdateInsertByID(updates)
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assert.ErrorIs(t, err, errAmountCannotBeLessOrEqualToZero, "UpdateInsertByID should error correctly")
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// Above will invalidate the book
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_, err = d.Retrieve()
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assert.ErrorIs(t, err, ErrOrderbookInvalid, "Retrieve should error correctly")
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err = d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Now(), false)
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assert.NoError(t, err, "LoadSnapshot should not error")
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updates = &Update{
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Bids: Items{{Price: 1338, Amount: 2, ID: 3}},
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Asks: Items{{Price: 1336, Amount: 2, ID: 4}},
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UpdateTime: time.Now(),
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}
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err = d.UpdateInsertByID(updates)
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assert.NoError(t, err, "UpdateInsertByID should not error")
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ob, err := d.Retrieve()
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assert.NoError(t, err, "Retrieve should not error")
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assert.Len(t, ob.Asks, 2, "Should have correct Asks")
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assert.Len(t, ob.Bids, 2, "Should have correct Bids")
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}
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func TestAssignOptions(t *testing.T) {
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t.Parallel()
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d := Depth{}
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cp := currency.NewPair(currency.LINK, currency.BTC)
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tn := time.Now()
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d.AssignOptions(&Base{
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Exchange: "test",
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Pair: cp,
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Asset: asset.Spot,
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LastUpdated: tn,
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LastUpdateID: 1337,
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PriceDuplication: true,
|
|
IsFundingRate: true,
|
|
VerifyOrderbook: true,
|
|
RestSnapshot: true,
|
|
IDAlignment: true,
|
|
})
|
|
|
|
assert.Equal(t, "test", d.exchange, "exchange should be correct")
|
|
assert.Equal(t, cp, d.pair, "pair should be correct")
|
|
assert.Equal(t, asset.Spot, d.asset, "asset should be correct")
|
|
assert.Equal(t, tn, d.lastUpdated, "lastUpdated should be correct")
|
|
assert.EqualValues(t, 1337, d.lastUpdateID, "lastUpdatedID should be correct")
|
|
assert.True(t, d.priceDuplication, "priceDuplication should be correct")
|
|
assert.True(t, d.isFundingRate, "isFundingRate should be correct")
|
|
assert.True(t, d.VerifyOrderbook, "VerifyOrderbook should be correct")
|
|
assert.True(t, d.restSnapshot, "restSnapshot should be correct")
|
|
assert.True(t, d.idAligned, "idAligned should be correct")
|
|
}
|
|
|
|
func TestGetName(t *testing.T) {
|
|
t.Parallel()
|
|
d := Depth{}
|
|
d.exchange = "test"
|
|
assert.Equal(t, "test", d.GetName(), "GetName should return correct value")
|
|
}
|
|
|
|
func TestIsRestSnapshot(t *testing.T) {
|
|
t.Parallel()
|
|
d := Depth{}
|
|
d.restSnapshot = true
|
|
err := d.Invalidate(nil)
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "Invalidate should error correctly")
|
|
_, err = d.IsRESTSnapshot()
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "IsRESTSnapshot should error correctly")
|
|
|
|
d.validationError = nil
|
|
b, err := d.IsRESTSnapshot()
|
|
assert.NoError(t, err, "IsRESTSnapshot should not error")
|
|
assert.True(t, b, "IsRESTSnapshot should return correct value")
|
|
}
|
|
|
|
func TestLastUpdateID(t *testing.T) {
|
|
t.Parallel()
|
|
d := Depth{}
|
|
err := d.Invalidate(nil)
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "Invalidate should error correctly")
|
|
|
|
_, err = d.LastUpdateID()
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "LastUpdateID should error correctly")
|
|
|
|
d.validationError = nil
|
|
d.lastUpdateID = 1337
|
|
id, err := d.LastUpdateID()
|
|
assert.NoError(t, err, "LastUpdateID should not error")
|
|
|
|
assert.EqualValues(t, 1337, id, "LastUpdateID should return correct value")
|
|
}
|
|
|
|
func TestIsFundingRate(t *testing.T) {
|
|
t.Parallel()
|
|
d := Depth{}
|
|
d.isFundingRate = true
|
|
assert.True(t, d.IsFundingRate(), "IsFundingRate should return true")
|
|
}
|
|
|
|
func TestPublish(t *testing.T) {
|
|
t.Parallel()
|
|
d := Depth{}
|
|
err := d.Invalidate(nil)
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "Invalidate should error correctly")
|
|
d.Publish()
|
|
d.validationError = nil
|
|
d.Publish()
|
|
}
|
|
|
|
func TestIsValid(t *testing.T) {
|
|
t.Parallel()
|
|
d := Depth{}
|
|
assert.True(t, d.IsValid(), "IsValid should return correct value")
|
|
err := d.Invalidate(nil)
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "Invalidate should error correctly")
|
|
assert.False(t, d.IsValid(), "IsValid should return correct value after Invalidate")
|
|
}
|
|
|
|
func TestGetMidPrice_Depth(t *testing.T) {
|
|
t.Parallel()
|
|
_, err := getInvalidDepth().GetMidPrice()
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "GetMidPrice should error correctly")
|
|
|
|
depth := NewDepth(id)
|
|
_, err = depth.GetMidPrice()
|
|
assert.ErrorIs(t, err, errNoLiquidity, "GetMidPrice should error correctly")
|
|
|
|
err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
mid, err := depth.GetMidPrice()
|
|
assert.NoError(t, err, "GetMidPrice should not error")
|
|
assert.Equal(t, 1336.5, mid, "Mid price should be correct")
|
|
}
|
|
|
|
func TestGetMidPriceNoLock_Depth(t *testing.T) {
|
|
t.Parallel()
|
|
depth := NewDepth(id)
|
|
_, err := depth.getMidPriceNoLock()
|
|
assert.ErrorIs(t, err, errNoLiquidity, "getMidPriceNoLock should error correctly")
|
|
|
|
err = depth.LoadSnapshot(bid, nil, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
_, err = depth.getMidPriceNoLock()
|
|
assert.ErrorIs(t, err, errNoLiquidity, "getMidPriceNoLock should error correctly")
|
|
|
|
err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
mid, err := depth.getMidPriceNoLock()
|
|
assert.NoError(t, err, "getMidPriceNoLock should not error")
|
|
assert.Equal(t, 1336.5, mid, "Mid price should be correct")
|
|
}
|
|
|
|
func TestGetBestBidASk_Depth(t *testing.T) {
|
|
t.Parallel()
|
|
_, err := getInvalidDepth().GetBestBid()
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "getInvalidDepth should error correctly")
|
|
|
|
_, err = getInvalidDepth().GetBestAsk()
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "getInvalidDepth should error correctly")
|
|
|
|
depth := NewDepth(id)
|
|
_, err = depth.GetBestBid()
|
|
assert.ErrorIs(t, err, errNoLiquidity, "GetBestBid should error correctly")
|
|
|
|
_, err = depth.GetBestAsk()
|
|
assert.ErrorIs(t, err, errNoLiquidity, "GetBestAsk should error correctly")
|
|
|
|
err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
mid, err := depth.GetBestBid()
|
|
assert.NoError(t, err, "GetBestBid should not error")
|
|
assert.Equal(t, 1336.0, mid, "Mid price should be correct")
|
|
|
|
mid, err = depth.GetBestAsk()
|
|
assert.NoError(t, err, "GetBestAsk should not error")
|
|
assert.Equal(t, 1337.0, mid, "Mid price should be correct")
|
|
}
|
|
|
|
func TestGetSpreadAmount(t *testing.T) {
|
|
t.Parallel()
|
|
_, err := getInvalidDepth().GetSpreadAmount()
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "GetSpreadAmount should error correctly")
|
|
|
|
depth := NewDepth(id)
|
|
|
|
_, err = depth.GetSpreadAmount()
|
|
assert.ErrorIs(t, err, errNoLiquidity, "GetSpreadAmount should error correctly")
|
|
|
|
err = depth.LoadSnapshot(nil, ask, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
_, err = depth.GetSpreadAmount()
|
|
assert.ErrorIs(t, err, errNoLiquidity, "GetSpreadAmount should error correctly")
|
|
|
|
err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
spread, err := depth.GetSpreadAmount()
|
|
assert.NoError(t, err, "GetSpreadAmount should not error")
|
|
assert.Equal(t, 1.0, spread, "spread should be correct")
|
|
}
|
|
|
|
func TestGetSpreadPercentage(t *testing.T) {
|
|
t.Parallel()
|
|
_, err := getInvalidDepth().GetSpreadPercentage()
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "GetSpreadPercentage should error correctly")
|
|
|
|
depth := NewDepth(id)
|
|
|
|
_, err = depth.GetSpreadPercentage()
|
|
assert.ErrorIs(t, err, errNoLiquidity, "GetSpreadPercentage should error correctly")
|
|
|
|
err = depth.LoadSnapshot(nil, ask, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
_, err = depth.GetSpreadPercentage()
|
|
assert.ErrorIs(t, err, errNoLiquidity, "GetSpreadPercentage should error correctly")
|
|
|
|
err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
spread, err := depth.GetSpreadPercentage()
|
|
assert.NoError(t, err, "GetSpreadPercentage should not error")
|
|
assert.Equal(t, 0.07479431563201197, spread, "spread should be correct")
|
|
}
|
|
|
|
func TestGetImbalance_Depth(t *testing.T) {
|
|
t.Parallel()
|
|
_, err := getInvalidDepth().GetImbalance()
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "GetImbalance should error correctly")
|
|
|
|
depth := NewDepth(id)
|
|
|
|
_, err = depth.GetImbalance()
|
|
assert.ErrorIs(t, err, errNoLiquidity, "GetImbalance should error correctly")
|
|
|
|
err = depth.LoadSnapshot(nil, ask, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
_, err = depth.GetImbalance()
|
|
assert.ErrorIs(t, err, errNoLiquidity, "GetImbalance should error correctly")
|
|
|
|
err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
imbalance, err := depth.GetImbalance()
|
|
assert.NoError(t, err, "GetImbalance should not error")
|
|
assert.Zero(t, imbalance, "imbalance should be correct")
|
|
}
|
|
|
|
func TestGetTranches(t *testing.T) {
|
|
t.Parallel()
|
|
_, _, err := getInvalidDepth().GetTranches(0)
|
|
assert.ErrorIs(t, err, ErrOrderbookInvalid, "GetTranches should error correctly")
|
|
|
|
depth := NewDepth(id)
|
|
|
|
_, _, err = depth.GetTranches(-1)
|
|
assert.ErrorIs(t, err, errInvalidBookDepth, "GetTranches should error correctly")
|
|
|
|
askT, bidT, err := depth.GetTranches(0)
|
|
assert.NoError(t, err, "GetTranches should not error")
|
|
assert.Empty(t, askT, "Ask tranche should be empty")
|
|
assert.Empty(t, bidT, "Bid tranche should be empty")
|
|
|
|
err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
askT, bidT, err = depth.GetTranches(0)
|
|
assert.NoError(t, err, "GetTranches should not error")
|
|
assert.Len(t, askT, 20, "asks should have correct number of tranches")
|
|
assert.Len(t, bidT, 20, "bids should have correct number of tranches")
|
|
|
|
askT, bidT, err = depth.GetTranches(5)
|
|
assert.NoError(t, err, "GetTranches should not error")
|
|
assert.Len(t, askT, 5, "asks should have correct number of tranches")
|
|
assert.Len(t, bidT, 5, "bids should have correct number of tranches")
|
|
}
|
|
|
|
func TestGetPair(t *testing.T) {
|
|
t.Parallel()
|
|
depth := NewDepth(id)
|
|
|
|
_, err := depth.GetPair()
|
|
assert.ErrorIs(t, err, currency.ErrCurrencyPairEmpty, "GetPair should error correctly")
|
|
|
|
expected := currency.NewPair(currency.BTC, currency.WABI)
|
|
depth.pair = expected
|
|
|
|
pair, err := depth.GetPair()
|
|
assert.NoError(t, err, "GetPair should not error")
|
|
|
|
assert.Equal(t, expected, pair, "GetPair should return correct pair")
|
|
}
|
|
|
|
func getInvalidDepth() *Depth {
|
|
depth := NewDepth(id)
|
|
_ = depth.Invalidate(errors.New("invalid reasoning"))
|
|
return depth
|
|
}
|
|
|
|
func TestMovementMethods(t *testing.T) {
|
|
t.Parallel()
|
|
|
|
callMethod := func(i any, name string, args []any) (*Movement, error) {
|
|
m := reflect.ValueOf(i).MethodByName(name)
|
|
valueArgs := []reflect.Value{}
|
|
for _, i := range args {
|
|
valueArgs = append(valueArgs, reflect.ValueOf(i))
|
|
}
|
|
r := m.Call(valueArgs)
|
|
movement, ok := r[0].Interface().(*Movement)
|
|
assert.True(t, ok, "Should return an Movement type")
|
|
if err, ok := r[1].Interface().(error); ok {
|
|
return movement, err
|
|
}
|
|
return movement, nil
|
|
}
|
|
|
|
for _, tt := range movementTests {
|
|
tt := tt
|
|
t.Run(tt.name, func(t *testing.T) {
|
|
t.Parallel()
|
|
depth := NewDepth(id)
|
|
methodName := strings.Split(tt.name, "_")[0]
|
|
|
|
_, err := callMethod(getInvalidDepth(), methodName, tt.tests[0].inputs)
|
|
assert.ErrorIsf(t, err, ErrOrderbookInvalid, "should error correctly with an invalid orderbook")
|
|
|
|
_, err = callMethod(depth, methodName, tt.tests[0].inputs)
|
|
assert.ErrorIs(t, err, errNoLiquidity, "should error correctly with no liquidity")
|
|
|
|
err = depth.LoadSnapshot(bid, ask, 0, time.Now(), true)
|
|
assert.NoError(t, err, "LoadSnapshot should not error")
|
|
|
|
for i, subT := range tt.tests {
|
|
move, err := callMethod(depth, methodName, subT.inputs)
|
|
assert.NoErrorf(t, err, "sub test %d should not error", i)
|
|
meta := reflect.Indirect(reflect.ValueOf(move))
|
|
metaExpect := reflect.Indirect(reflect.ValueOf(subT.expect))
|
|
for j := 0; j < metaExpect.NumField(); j++ {
|
|
field := meta.Field(j)
|
|
expect := metaExpect.Field(j)
|
|
if field.CanFloat() && !expect.IsZero() {
|
|
assert.InDeltaf(t, field.Float(), expect.Float(), accuracy10dp, "sub test %d movement %s should be correct", i, meta.Type().Field(j).Name)
|
|
}
|
|
}
|
|
assert.Equal(t, subT.expect.FullBookSideConsumed, move.FullBookSideConsumed, "sub test %d movement FullBookSideConsumed should be correct", i)
|
|
}
|
|
})
|
|
}
|
|
}
|
|
|
|
type movementTest struct {
|
|
inputs []any
|
|
expect Movement
|
|
}
|
|
|
|
var zero = accuracy10dp // Hack to allow testing of 0 values when we want without testing other fields we haven't specified
|
|
|
|
var movementTests = []struct {
|
|
name string
|
|
tests []movementTest
|
|
}{
|
|
{"HitTheBidsByImpactSlippage",
|
|
[]movementTest{
|
|
{[]any{0.7485029940119761, 1336.0}, Movement{Sold: 10}}, // First and second price from best bid - price level target 1326 (which should be kept)
|
|
{[]any{1.4221556886227544, 1336.0}, Movement{Sold: 19}}, // All the way up to the last price from best bid price
|
|
}},
|
|
{"HitTheBidsByImpactSlippageFromMid",
|
|
[]movementTest{
|
|
{[]any{0.7485029940119761}, Movement{Sold: 10.0}}, // First and second price from mid - price level target 1326 (which should be kept)
|
|
{[]any{1.4221556886227544}, Movement{Sold: 19.0}}, // All the way up to the last price from best bid price
|
|
}},
|
|
{"HitTheBidsByNominalSlippageFromMid",
|
|
[]movementTest{
|
|
{[]any{0.03741114852226}, Movement{Sold: 1.0}}, // First price from mid point
|
|
{[]any{0.74822297044519}, Movement{Sold: 20.0}}, // All the way up to the last price from mid price
|
|
}},
|
|
{"HitTheBidsByNominalSlippageFromBest",
|
|
[]movementTest{
|
|
{[]any{0.037425149700599}, Movement{Sold: 2.0}}, // First and second price from best bid
|
|
{[]any{0.71107784431138}, Movement{Sold: 20.0, FullBookSideConsumed: true}}, // All the way up to the last price from best bid price
|
|
}},
|
|
{"LiftTheAsksByNominalSlippage",
|
|
[]movementTest{
|
|
{[]any{0.037397157816006, 1337.0}, Movement{Sold: 2675.0}}, // First and second price
|
|
{[]any{0.71054599850411, 1337.0}, Movement{Sold: 26930.0}}, // All the way up to the last price
|
|
}},
|
|
{"LiftTheAsksByNominalSlippageFromMid",
|
|
[]movementTest{
|
|
{[]any{0.074822297044519}, Movement{Sold: 2675.0}}, // First price from mid point
|
|
{[]any{0.74822297044519}, Movement{Sold: 26930.0}}, // All the way up to the last price from mid price
|
|
}},
|
|
{"LiftTheAsksByNominalSlippageFromBest",
|
|
[]movementTest{
|
|
{[]any{0.037397157816006}, Movement{Sold: 2675.0}}, // First and second price from best bid
|
|
{[]any{0.71054599850411}, Movement{Sold: 26930.0}}, // All the way up to the last price from best bid price
|
|
}},
|
|
{"HitTheBidsByImpactSlippageFromBest",
|
|
[]movementTest{
|
|
{[]any{0.7485029940119761}, Movement{Sold: 10.0}}, // First and second price from mid - price level target 1326 (which should be kept)
|
|
{[]any{1.4221556886227544}, Movement{Sold: 19.0}}, // All the way up to the last price from best bid price
|
|
}},
|
|
{"LiftTheAsksByImpactSlippage",
|
|
[]movementTest{
|
|
{[]any{0.7479431563201197, 1337.0}, Movement{Sold: 13415.0}}, // First and second price from best bid - price level target 1326 (which should be kept)
|
|
{[]any{1.4210919970082274, 1337.0}, Movement{Sold: 25574.0}}, // All the way up to the last price from best bid price
|
|
}},
|
|
{"LiftTheAsksByImpactSlippageFromMid",
|
|
[]movementTest{
|
|
{[]any{0.7485029940119761}, Movement{Sold: 13415.0}}, // First and second price from mid - price level target 1326 (which should be kept)
|
|
{[]any{1.4221556886227544}, Movement{Sold: 25574.0}}, // All the way up to the last price from best bid price
|
|
}},
|
|
{"LiftTheAsksByImpactSlippageFromBest",
|
|
[]movementTest{
|
|
{[]any{0.7479431563201197}, Movement{Sold: 13415.0}}, // First and second price from mid - price level target 1326 (which should be kept)
|
|
// All the way up to the last price from best bid price
|
|
// This goes to price 1356, it will not count that tranches' volume as it is needed to sustain the slippage.
|
|
{[]any{1.4210919970082274}, Movement{Sold: 25574.0}},
|
|
}},
|
|
{"HitTheBidsByNominalSlippage",
|
|
[]movementTest{
|
|
{[]any{0.0, 1336.0}, Movement{Sold: 1.0, NominalPercentage: 0.0, StartPrice: 1336.0, EndPrice: 1336.0}}, // 1st
|
|
{[]any{0.037425149700598806, 1336.0}, Movement{Sold: 2.0, NominalPercentage: 0.037425149700598806, StartPrice: 1336.0, EndPrice: 1335.0}}, // 2nd
|
|
{[]any{0.02495009980039353, 1336.0}, Movement{Sold: 1.5, NominalPercentage: 0.02495009980039353, StartPrice: 1336.0, EndPrice: 1335.0}}, // 1.5ish
|
|
{[]any{0.7110778443113772, 1336.0}, Movement{Sold: 20, NominalPercentage: 0.7110778443113772, StartPrice: 1336.0, EndPrice: 1317.0, FullBookSideConsumed: true}}, // All
|
|
}},
|
|
{"HitTheBids",
|
|
[]movementTest{
|
|
{[]any{20.1, 1336.0, false}, Movement{Sold: 20.0, FullBookSideConsumed: true}},
|
|
{[]any{1.0, 1336.0, false}, Movement{ImpactPercentage: 0.07485029940119761, NominalPercentage: zero, SlippageCost: zero}},
|
|
{[]any{19.5, 1336.0, false}, Movement{NominalPercentage: 0.692845079072617, ImpactPercentage: 1.4221556886227544, SlippageCost: 180.5}},
|
|
{[]any{20.0, 1336.0, false}, Movement{NominalPercentage: 0.7110778443113772, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
{"HitTheBids_QuotationRequired",
|
|
[]movementTest{
|
|
{[]any{26531.0, 1336.0, true}, Movement{Sold: 20.0, FullBookSideConsumed: true}},
|
|
{[]any{1336.0, 1336.0, true}, Movement{ImpactPercentage: 0.07485029940119761, NominalPercentage: zero, SlippageCost: zero}},
|
|
{[]any{25871.5, 1336.0, true}, Movement{NominalPercentage: 0.692845079072617, ImpactPercentage: 1.4221556886227544, SlippageCost: 180.5}},
|
|
{[]any{26530.0, 1336.0, true}, Movement{NominalPercentage: 0.7110778443113772, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
{"HitTheBidsFromMid",
|
|
[]movementTest{
|
|
{[]any{20.1, false}, Movement{Sold: 20.0, FullBookSideConsumed: true}},
|
|
{[]any{1.0, false}, Movement{ImpactPercentage: 0.11223344556677892, NominalPercentage: 0.03741114852225963, SlippageCost: zero}}, // mid price 1336.5 -> 1335
|
|
{[]any{19.5, false}, Movement{NominalPercentage: 0.7299970262933156, ImpactPercentage: 1.4590347923681257, SlippageCost: 180.5}},
|
|
{[]any{20.0, false}, Movement{NominalPercentage: 0.7482229704451926, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
{"HitTheBidsFromMid_QuotationRequired",
|
|
[]movementTest{
|
|
{[]any{26531.0, true}, Movement{Sold: 20.0, FullBookSideConsumed: true}},
|
|
{[]any{1336.0, true}, Movement{ImpactPercentage: 0.11223344556677892, NominalPercentage: 0.03741114852225963, SlippageCost: zero}}, // mid price 1336.5 -> 1335
|
|
{[]any{25871.5, true}, Movement{NominalPercentage: 0.7299970262933156, ImpactPercentage: 1.4590347923681257, SlippageCost: 180.5}},
|
|
{[]any{26530.0, true}, Movement{NominalPercentage: 0.7482229704451926, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
{"HitTheBidsFromBest",
|
|
[]movementTest{
|
|
{[]any{20.1, false}, Movement{Sold: 20.0, FullBookSideConsumed: true}},
|
|
{[]any{1.0, false}, Movement{ImpactPercentage: 0.07485029940119761, NominalPercentage: zero, SlippageCost: zero}},
|
|
{[]any{19.5, false}, Movement{NominalPercentage: 0.692845079072617, ImpactPercentage: 1.4221556886227544, SlippageCost: 180.5}},
|
|
{[]any{20.0, false}, Movement{NominalPercentage: 0.7110778443113772, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
{"HitTheBidsFromBest_QuotationRequired",
|
|
[]movementTest{
|
|
{[]any{26531.0, true}, Movement{Sold: 20.0, FullBookSideConsumed: true}},
|
|
{[]any{1336.0, true}, Movement{ImpactPercentage: 0.07485029940119761, NominalPercentage: zero, SlippageCost: zero}},
|
|
{[]any{25871.5, true}, Movement{NominalPercentage: 0.692845079072617, ImpactPercentage: 1.4221556886227544, SlippageCost: 180.5}},
|
|
{[]any{26530.0, true}, Movement{NominalPercentage: 0.7110778443113772, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
{"LiftTheAsks",
|
|
[]movementTest{
|
|
{[]any{26931.0, 1337.0, false}, Movement{Sold: 26930.0, FullBookSideConsumed: true}},
|
|
{[]any{1337.0, 1337.0, false}, Movement{ImpactPercentage: 0.07479431563201197, NominalPercentage: zero, SlippageCost: zero}},
|
|
{[]any{26900.0, 1337.0, false}, Movement{NominalPercentage: 0.7097591258590459, ImpactPercentage: 1.4210919970082274, SlippageCost: 189.57964601770072}},
|
|
{[]any{26930.0, 1336.0, false}, Movement{NominalPercentage: 0.7859281437125748, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
{"LiftTheAsks_BaseRequired",
|
|
[]movementTest{
|
|
{[]any{21.0, 1337.0, true}, Movement{Sold: 26930.0, FullBookSideConsumed: true}},
|
|
{[]any{1.0, 1337.0, true}, Movement{ImpactPercentage: 0.07479431563201197, NominalPercentage: zero, SlippageCost: zero}},
|
|
{[]any{19.97787610619469, 1337.0, true}, Movement{NominalPercentage: 0.7097591258590459, ImpactPercentage: 1.4210919970082274, SlippageCost: 189.57964601770072}},
|
|
{[]any{20.0, 1336.0, true}, Movement{NominalPercentage: 0.7859281437125748, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
{"LiftTheAsksFromMid",
|
|
[]movementTest{
|
|
{[]any{26931.0, false}, Movement{Sold: 26930.0, FullBookSideConsumed: true}},
|
|
{[]any{1337.0, false}, Movement{NominalPercentage: 0.03741114852225963, ImpactPercentage: 0.11223344556677892, SlippageCost: zero}},
|
|
{[]any{26900.0, false}, Movement{NominalPercentage: 0.747435803422031, ImpactPercentage: 1.4590347923681257, SlippageCost: 189.57964601770072}},
|
|
{[]any{26930.0, false}, Movement{NominalPercentage: 0.7482229704451926, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
{"LiftTheAsksFromMid_BaseRequired",
|
|
[]movementTest{
|
|
{[]any{21.0, true}, Movement{Sold: 26930.0, FullBookSideConsumed: true}},
|
|
{[]any{1.0, true}, Movement{NominalPercentage: 0.03741114852225963, ImpactPercentage: 0.11223344556677892, SlippageCost: zero}},
|
|
{[]any{19.97787610619469, true}, Movement{NominalPercentage: 0.7474358034220139, ImpactPercentage: 1.4590347923681257, SlippageCost: 189.5796460176971}},
|
|
{[]any{20.0, true}, Movement{NominalPercentage: 0.7482229704451926, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
{"LiftTheAsksFromBest",
|
|
[]movementTest{
|
|
{[]any{26931.0, false}, Movement{Sold: 26930.0, FullBookSideConsumed: true}},
|
|
{[]any{1337.0, false}, Movement{NominalPercentage: zero, ImpactPercentage: 0.07479431563201197, SlippageCost: zero}},
|
|
{[]any{26900.0, false}, Movement{NominalPercentage: 0.7097591258590459, ImpactPercentage: 1.4210919970082274, SlippageCost: 189.579646017701}},
|
|
{[]any{26930.0, false}, Movement{NominalPercentage: 0.7105459985041137, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
{"LiftTheAsksFromBest_BaseRequired",
|
|
[]movementTest{
|
|
{[]any{21.0, true}, Movement{Sold: 26930.0, FullBookSideConsumed: true}},
|
|
{[]any{1.0, true}, Movement{NominalPercentage: zero, ImpactPercentage: 0.07479431563201197, SlippageCost: zero}},
|
|
{[]any{19.97787610619469, true}, Movement{NominalPercentage: 0.7097591258590459, ImpactPercentage: 1.4210919970082274, SlippageCost: 189.579646017701}},
|
|
{[]any{20.0, true}, Movement{NominalPercentage: 0.7105459985041137, ImpactPercentage: FullLiquidityExhaustedPercentage, SlippageCost: 190.0, FullBookSideConsumed: true}},
|
|
}},
|
|
}
|