Files
gocryptotrader/engine/order_manager_test.go
Scott f929b4d51e backtester: Futures handling & FTX Cash and Carry example strategy (#930)
* implements futures functions and GRPC functions on new branch

* lint and test fixes

* Fix uneven split pnl. Adds collateral weight test. docs. New clear func

* Test protection if someone has zero collateral

* Uses string instead of double for accuracy

* Fixes old code panic

* context, match, docs

* Addresses Shazniterinos, var names, expanded tests

* Returns subaccount name, provides USD values when offlinecalc

* Fixes oopsie

* Fixes cool bug which allowed made up subaccount results

* Subaccount override on FTX, subaccount results for collateral

* Strenghten collateral account info checks. Improve FTX test

* English is my first language

* Fixes oopsies

* Adds some conceptual futures order details to track PNL

* Initial design of future order processing in the backtester

* Introduces futures concept for collateral and spot/futures config diffs

* Fixes most tests

* Simple designs for collateral funding pair concept

* Expands interface use so much it hurts

* Implements more collateral interfaces

* Adds liquidation, adds strategy, struggles with Binance

* Attempts at getting FTX to work

* Adds calculatePNL as a wrapper function and adds an `IsFutures` asset check

* Successfully loads backtester with collateral currency

* Fails to really get much going for supporting futures

* Merges master changes

* Fleshes out how FTX processes collateral

* Further FTX collateral workings

* hooks up more ftx collateral and pnl calculations

* more funcs to flesh out handling

* Adds more links, just can't fit the pieces together :(

* Greatly expands futures order processing

* Fleshes out position tracker to also handle asset and exchange +testing

* RM linkedOrderID. rn positioncontroller, unexport

* Successfully tracks futures order positions

* Fails to calculate PNL

* Calculates pnl from orders accurately with exception to flipping orders

* Calculates PNL from orders

* Adds another controller layer to make it ez from orderstore

* Backtester now compiles. Adds test coverage

* labels things add scaling collateral test

* Calculates pnl in line with fees

* Mostly accurate PNL, with exception to appending with diff prices

* Adds locks, adds rpc function

* grpc implementations

* Gracefully handles rpc function

* beautiful tests!

* rejiggles tests to polish

* Finishes FTX testing, adds comments

* Exposes collateral calculations to rpc

* Adds commands and testing for rpcserver.go functions

* Increase testing and fix up backtester code

* Returns cool changes to original branch

* end of day fixes

* Fixing some tests

* Fixing tests 🎉

* Fixes all the tests

* Splits the backtester setup and running into different files

* Merge, minor fixes

* Messing with some strategy updates

* Failed understanding at collateral usage

* Begins the creation of cash and carry strategy

* Adds underlying pair, adds filldependentevent for futures

* Completes fill prerequsite event implementation. Can't short though

* Some bug fixes

* investigating funds

* CAN NOW CREATE A SHORT ORDER

* Minor change in short size

* Fixes for unrealised PNL & collateral rendering

* Fixes lint and tests

* Adds some verbosity

* Updates to pnl calc

* Tracks pnl for short orders, minor update to strategy

* Close and open event based on conditions

* Adds pnl data for currency statistics

* Working through PNL calculation automatically. Now panics

* Adds tracking, is blocked from design

* Work to flesh out closing a position

* vain attempts at tracking zeroing out bugs

* woww, super fun new subloggers 🎉

* Begins attempt at automatically handling contracts and collateral based on direction

* Merge master + fixes

* Investigating issues with pnl and holdings

* Minor pnl fixes

* Fixes future position sizing, needs contract sizing

* Can render pnl results, focussing on funding statistics

* tracking candles for futures, but why not btc

* Improves funding statistics

* Colours and stats

* Fixes collateral and snapshot bugs

* Completes test

* Fixes totals bug

* Fix double buy, expand stats, fixes usd totals, introduce interface

* Begins report formatting and calculations

* Appends pnl to receiving curr. Fixes map[time]. accurate USD

* Improves report output rendering

* PNL stats in report. New tests for futures

* Fixes existing tests before adding new coverage

* Test coverage

* Completes portfolio coverage

* Increase coverage exchange, portfolio. fix size bug. NEW CHART

* WHAT IS GOING ON WITH PNL

* Fixes PNL calculation. Adds ability to skip om futures tracking

* minor commit before merge

* Adds basic liquidation to backtester

* Changes liquidation to order based

* Liquidationnnnnn

* Further fleshes out liquidations

* Completes liquidations in a honorable manner. Adds AppendReasonf

* Beginnings of spot futures gap chart. Needs to link currencies to render difference

* Removes fake liquidation. Adds cool new chart

* Fixes somet tests,allows for zero fee value v nil distinction,New tests

* Some annoying test fixes that took too long

* portfolio coverage

* holding coverage, privatisation funding

* Testwork

* boring tests

* engine coverage

* More backtesting coverage

* Funding, strategy, report test coverage

* Completes coverage of report package

* Documentation, fixes some assumptions on asset errors

* Changes before master merge

* Lint and Tests

* defaults to non-coloured rendering

* Chart rendering

* Fixes surprise non-local-lints

* Niterinos to the extremeos

* Fixes merge problems

* The linter splintered across the glinting plinths

* Many nits addressed. Now sells spot position on final candle

* Adds forgotten coverage

* Adds ability to size futures contracts to match spot positions.

* fixes order sell sizing

* Adds tests to sizing. Fixes charting issue

* clint splintered the linters with flint

* Improves stats, stat rendering

* minifix

* Fixes tests and fee bug

* Merge fixeroos

* Microfixes

* Updates orderPNL on first Correctly utilises fees. Adds committed funds

* New base funcs. New order summary

* Fun test updates

* Fix logo colouring

* Fixes niteroonies

* Fix report

* BAD COMMIT

* Fixes funding issues.Updates default fee rates.Combines cashcarry case

* doc regen

* Now returns err

* Fixes sizing bug issue introduced in PR

* Fixes fun fee/total US value bug

* Fix chart bug. Show log charts with disclaimer

* sellside fee

* fixes fee and slippage view

* Fixed slippage price issue

* Fixes calculation and removes rendering

* Fixes stats and some rendering

* Merge fix

* Fixes merge issues

* go mod tidy, lint updates

* New linter attempt

* Version bump in appveyor and makefile

* Regex filename, config fixes, template h2 fixes

* Removes bad stats.

* neatens config builder. Moves filename generator

* Fixes issue where linter wants to fix my spelling

* Fixes pointers and starts
2022-06-30 15:43:41 +10:00

1353 lines
34 KiB
Go

package engine
import (
"context"
"errors"
"strings"
"sync"
"testing"
"time"
"github.com/shopspring/decimal"
"github.com/thrasher-corp/gocryptotrader/common/convert"
"github.com/thrasher-corp/gocryptotrader/config"
"github.com/thrasher-corp/gocryptotrader/currency"
exchange "github.com/thrasher-corp/gocryptotrader/exchanges"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
"github.com/thrasher-corp/gocryptotrader/exchanges/order"
"github.com/thrasher-corp/gocryptotrader/exchanges/protocol"
)
// omfExchange aka ordermanager fake exchange overrides exchange functions
// we're not testing an actual exchange's implemented functions
type omfExchange struct {
exchange.IBotExchange
}
// CancelOrder overrides testExchange's cancel order function
// to do the bare minimum required with no API calls or credentials required
func (f omfExchange) CancelOrder(ctx context.Context, o *order.Cancel) error {
return nil
}
// GetOrderInfo overrides testExchange's get order function
// to do the bare minimum required with no API calls or credentials required
func (f omfExchange) GetOrderInfo(ctx context.Context, orderID string, pair currency.Pair, assetType asset.Item) (order.Detail, error) {
switch orderID {
case "":
return order.Detail{}, errors.New("")
case "Order1-unknown-to-active":
return order.Detail{
Exchange: testExchange,
Pair: currency.Pair{Base: currency.BTC, Quote: currency.USD},
AssetType: asset.Spot,
Amount: 1.0,
Side: order.Buy,
Status: order.Active,
LastUpdated: time.Now().Add(-time.Hour),
OrderID: "Order1-unknown-to-active",
}, nil
case "Order2-active-to-inactive":
return order.Detail{
Exchange: testExchange,
Pair: currency.Pair{Base: currency.BTC, Quote: currency.USD},
AssetType: asset.Spot,
Amount: 1.0,
Side: order.Sell,
Status: order.Cancelled,
LastUpdated: time.Now().Add(-time.Hour),
OrderID: "Order2-active-to-inactive",
}, nil
}
return order.Detail{
Exchange: testExchange,
OrderID: orderID,
Pair: pair,
AssetType: assetType,
Status: order.Cancelled,
}, nil
}
// GetActiveOrders overrides the function used by processOrders to return 1 active order
func (f omfExchange) GetActiveOrders(ctx context.Context, req *order.GetOrdersRequest) ([]order.Detail, error) {
return []order.Detail{{
Exchange: testExchange,
Pair: currency.Pair{Base: currency.BTC, Quote: currency.USD},
AssetType: asset.Spot,
Amount: 2.0,
Side: order.Sell,
Status: order.Active,
LastUpdated: time.Now().Add(-time.Hour),
OrderID: "Order3-unknown-to-active",
}}, nil
}
func (f omfExchange) ModifyOrder(ctx context.Context, action *order.Modify) (*order.ModifyResponse, error) {
ans, err := action.DeriveModifyResponse()
if err != nil {
return nil, err
}
ans.OrderID = "modified_order_id"
return ans, nil
}
func TestSetupOrderManager(t *testing.T) {
_, err := SetupOrderManager(nil, nil, nil, false, false)
if !errors.Is(err, errNilExchangeManager) {
t.Errorf("error '%v', expected '%v'", err, errNilExchangeManager)
}
_, err = SetupOrderManager(SetupExchangeManager(), nil, nil, false, false)
if !errors.Is(err, errNilCommunicationsManager) {
t.Errorf("error '%v', expected '%v'", err, errNilCommunicationsManager)
}
_, err = SetupOrderManager(SetupExchangeManager(), &CommunicationManager{}, nil, false, false)
if !errors.Is(err, errNilWaitGroup) {
t.Errorf("error '%v', expected '%v'", err, errNilWaitGroup)
}
var wg sync.WaitGroup
_, err = SetupOrderManager(SetupExchangeManager(), &CommunicationManager{}, &wg, false, false)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
}
func TestOrderManagerStart(t *testing.T) {
var m *OrderManager
err := m.Start()
if !errors.Is(err, ErrNilSubsystem) {
t.Errorf("error '%v', expected '%v'", err, ErrNilSubsystem)
}
var wg sync.WaitGroup
m, err = SetupOrderManager(SetupExchangeManager(), &CommunicationManager{}, &wg, false, false)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
err = m.Start()
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
err = m.Start()
if !errors.Is(err, ErrSubSystemAlreadyStarted) {
t.Errorf("error '%v', expected '%v'", err, ErrSubSystemAlreadyStarted)
}
}
func TestOrderManagerIsRunning(t *testing.T) {
var m *OrderManager
if m.IsRunning() {
t.Error("expected false")
}
var wg sync.WaitGroup
m, err := SetupOrderManager(SetupExchangeManager(), &CommunicationManager{}, &wg, false, false)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
if m.IsRunning() {
t.Error("expected false")
}
err = m.Start()
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
if !m.IsRunning() {
t.Error("expected true")
}
}
func TestOrderManagerStop(t *testing.T) {
var m *OrderManager
err := m.Stop()
if !errors.Is(err, ErrNilSubsystem) {
t.Errorf("error '%v', expected '%v'", err, ErrNilSubsystem)
}
var wg sync.WaitGroup
m, err = SetupOrderManager(SetupExchangeManager(), &CommunicationManager{}, &wg, false, false)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
err = m.Stop()
if !errors.Is(err, ErrSubSystemNotStarted) {
t.Errorf("error '%v', expected '%v'", err, ErrSubSystemNotStarted)
}
err = m.Start()
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
err = m.Stop()
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
}
func OrdersSetup(t *testing.T) *OrderManager {
t.Helper()
var wg sync.WaitGroup
em := SetupExchangeManager()
exch, err := em.NewExchangeByName(testExchange)
if err != nil {
t.Fatal(err)
}
exch.SetDefaults()
cfg, err := exch.GetDefaultConfig()
if err != nil {
t.Fatal(err)
}
err = exch.Setup(cfg)
if err != nil {
t.Fatal(err)
}
fakeExchange := omfExchange{
IBotExchange: exch,
}
em.Add(fakeExchange)
m, err := SetupOrderManager(em, &CommunicationManager{}, &wg, false, false)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
m.started = 1
return m
}
func TestOrdersGet(t *testing.T) {
m := OrdersSetup(t)
if m.orderStore.get() == nil {
t.Error("orderStore not established")
}
}
func TestOrdersAdd(t *testing.T) {
m := OrdersSetup(t)
err := m.orderStore.add(&order.Detail{
Exchange: testExchange,
OrderID: "TestOrdersAdd",
})
if err != nil {
t.Error(err)
}
err = m.orderStore.add(&order.Detail{
Exchange: "testTest",
OrderID: "TestOrdersAdd",
})
if err == nil {
t.Error("Expected error from non existent exchange")
}
err = m.orderStore.add(nil)
if err == nil {
t.Error("Expected error from nil order")
}
err = m.orderStore.add(&order.Detail{
Exchange: testExchange,
OrderID: "TestOrdersAdd",
})
if err == nil {
t.Error("Expected error re-adding order")
}
}
func TestGetByExchangeAndID(t *testing.T) {
m := OrdersSetup(t)
err := m.orderStore.add(&order.Detail{
Exchange: testExchange,
OrderID: "TestGetByExchangeAndID",
})
if err != nil {
t.Error(err)
}
o, err := m.orderStore.getByExchangeAndID(testExchange, "TestGetByExchangeAndID")
if err != nil {
t.Error(err)
}
if o.OrderID != "TestGetByExchangeAndID" {
t.Error("Expected to retrieve order")
}
_, err = m.orderStore.getByExchangeAndID("", "TestGetByExchangeAndID")
if err != ErrExchangeNotFound {
t.Error(err)
}
_, err = m.orderStore.getByExchangeAndID(testExchange, "")
if err != ErrOrderNotFound {
t.Error(err)
}
}
func TestExists(t *testing.T) {
m := OrdersSetup(t)
if m.orderStore.exists(nil) {
t.Error("Expected false")
}
o := &order.Detail{
Exchange: testExchange,
OrderID: "TestExists",
}
if err := m.orderStore.add(o); err != nil {
t.Error(err)
}
if b := m.orderStore.exists(o); !b {
t.Error("Expected true")
}
}
func TestStore_modifyOrder(t *testing.T) {
m := OrdersSetup(t)
pair := currency.Pair{
Base: currency.NewCode("XXXXX"),
Quote: currency.NewCode("YYYYY"),
}
err := m.orderStore.add(&order.Detail{
Exchange: testExchange,
AssetType: asset.Spot,
Pair: pair,
OrderID: "fake_order_id",
Price: 8,
Amount: 128,
})
if err != nil {
t.Error(err)
}
err = m.orderStore.modifyExisting("fake_order_id", &order.ModifyResponse{
Exchange: testExchange,
OrderID: "another_fake_order_id",
Price: 16,
Amount: 256,
})
if err != nil {
t.Error(err)
}
_, err = m.orderStore.getByExchangeAndID(testExchange, "fake_order_id")
if err == nil {
// Expected error, such an order should not exist anymore in the store.
t.Fatal("Expected error")
}
det, err := m.orderStore.getByExchangeAndID(testExchange, "another_fake_order_id")
if det == nil || err != nil { //nolint:staticcheck,nolintlint // SA5011 Ignore the nil warnings
t.Fatal("Failed to fetch order details")
}
if det.OrderID != "another_fake_order_id" || det.Price != 16 || det.Amount != 256 { //nolint:staticcheck,nolintlint // SA5011 Ignore the nil warnings
t.Errorf(
"have (%s,%f,%f), want (%s,%f,%f)",
det.OrderID, det.Price, det.Amount,
"another_fake_order_id", 16., 256.,
)
}
}
func TestCancelOrder(t *testing.T) {
m := OrdersSetup(t)
err := m.Cancel(context.Background(), nil)
if err == nil {
t.Error("Expected error due to empty order")
}
err = m.Cancel(context.Background(), &order.Cancel{})
if err == nil {
t.Error("Expected error due to empty order")
}
err = m.Cancel(context.Background(), &order.Cancel{
Exchange: testExchange,
})
if err == nil {
t.Error("Expected error due to no order ID")
}
err = m.Cancel(context.Background(), &order.Cancel{
OrderID: "ID",
})
if err == nil {
t.Error("Expected error due to no Exchange")
}
err = m.Cancel(context.Background(), &order.Cancel{
OrderID: "ID",
Exchange: testExchange,
AssetType: asset.Binary,
})
if err == nil {
t.Error("Expected error due to bad asset type")
}
o := &order.Detail{
Exchange: testExchange,
OrderID: "1337",
Status: order.New,
}
err = m.orderStore.add(o)
if err != nil {
t.Error(err)
}
err = m.Cancel(context.Background(), &order.Cancel{
OrderID: "Unknown",
Exchange: testExchange,
AssetType: asset.Spot,
})
if err == nil {
t.Error("Expected error due to no order found")
}
pair, err := currency.NewPairFromString("BTCUSD")
if err != nil {
t.Fatal(err)
}
cancel := &order.Cancel{
Exchange: testExchange,
OrderID: "1337",
Side: order.Sell,
AssetType: asset.Spot,
Pair: pair,
}
err = m.Cancel(context.Background(), cancel)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
if o.Status != order.Cancelled {
t.Error("Failed to cancel")
}
}
func TestGetOrderInfo(t *testing.T) {
m := OrdersSetup(t)
_, err := m.GetOrderInfo(context.Background(), "", "", currency.EMPTYPAIR, asset.Empty)
if err == nil {
t.Error("Expected error due to empty order")
}
var result order.Detail
result, err = m.GetOrderInfo(context.Background(),
testExchange, "1337", currency.EMPTYPAIR, asset.Empty)
if err != nil {
t.Error(err)
}
if result.OrderID != "1337" {
t.Error("unexpected order returned")
}
result, err = m.GetOrderInfo(context.Background(),
testExchange, "1337", currency.EMPTYPAIR, asset.Empty)
if err != nil {
t.Error(err)
}
if result.OrderID != "1337" {
t.Error("unexpected order returned")
}
}
func TestCancelAllOrders(t *testing.T) {
m := OrdersSetup(t)
o := &order.Detail{
Exchange: testExchange,
OrderID: "TestCancelAllOrders",
Status: order.New,
}
if err := m.orderStore.add(o); err != nil {
t.Error(err)
}
m.CancelAllOrders(context.Background(), []exchange.IBotExchange{})
checkDeets, err := m.orderStore.getByExchangeAndID(testExchange, "TestCancelAllOrders")
if err != nil {
t.Fatal(err)
}
if checkDeets.Status == order.Cancelled {
t.Error("Order should not be cancelled")
}
exch, err := m.orderStore.exchangeManager.GetExchangeByName(testExchange)
if err != nil {
t.Fatal(err)
}
m.CancelAllOrders(context.Background(), []exchange.IBotExchange{exch})
checkDeets, err = m.orderStore.getByExchangeAndID(testExchange, "TestCancelAllOrders")
if err != nil {
t.Fatal(err)
}
if checkDeets.Status != order.Cancelled {
t.Error("Order should be cancelled", checkDeets.Status)
}
}
func TestSubmit(t *testing.T) {
m := OrdersSetup(t)
_, err := m.Submit(context.Background(), nil)
if err == nil {
t.Error("Expected error from nil order")
}
o := &order.Submit{Type: order.Market}
_, err = m.Submit(context.Background(), o)
if err == nil {
t.Error("Expected error from empty exchange")
}
o.Exchange = testExchange
_, err = m.Submit(context.Background(), o)
if err == nil {
t.Error("Expected error from validation")
}
pair, err := currency.NewPairFromString("BTCUSD")
if err != nil {
t.Fatal(err)
}
m.cfg.EnforceLimitConfig = true
m.cfg.AllowMarketOrders = false
o.Pair = pair
o.AssetType = asset.Spot
o.Side = order.Buy
o.Amount = 1
o.Price = 1
_, err = m.Submit(context.Background(), o)
if err == nil {
t.Error("Expected fail due to order market type is not allowed")
}
m.cfg.AllowMarketOrders = true
m.cfg.LimitAmount = 1
o.Amount = 2
_, err = m.Submit(context.Background(), o)
if err == nil {
t.Error("Expected fail due to order limit exceeds allowed limit")
}
m.cfg.LimitAmount = 0
m.cfg.AllowedExchanges = []string{"fake"}
_, err = m.Submit(context.Background(), o)
if err == nil {
t.Error("Expected fail due to order exchange not found in allowed list")
}
failPair, err := currency.NewPairFromString("BTCAUD")
if err != nil {
t.Fatal(err)
}
m.cfg.AllowedExchanges = nil
m.cfg.AllowedPairs = currency.Pairs{failPair}
_, err = m.Submit(context.Background(), o)
if err == nil {
t.Error("Expected fail due to order pair not found in allowed list")
}
m.cfg.AllowedPairs = nil
_, err = m.Submit(context.Background(), o)
if !errors.Is(err, exchange.ErrAuthenticationSupportNotEnabled) {
t.Errorf("received: %v but expected: %v", err, exchange.ErrAuthenticationSupportNotEnabled)
}
err = m.orderStore.add(&order.Detail{
Exchange: testExchange,
OrderID: "FakePassingExchangeOrder",
})
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
o2, err := m.orderStore.getByExchangeAndID(testExchange, "FakePassingExchangeOrder")
if err != nil {
t.Error(err)
}
if o2.InternalOrderID.IsNil() {
t.Error("Failed to assign internal order id")
}
}
func TestOrderManager_Modify(t *testing.T) {
pair := currency.Pair{
Base: currency.NewCode("XXXXX"),
Quote: currency.NewCode("YYYYY"),
}
f := func(mod order.Modify, expectError bool, price, amount float64) {
t.Helper()
m := OrdersSetup(t)
err := m.orderStore.add(&order.Detail{
Exchange: testExchange,
AssetType: asset.Spot,
Pair: pair,
OrderID: "fake_order_id",
Price: 8,
Amount: 128,
})
if err != nil {
t.Error(err)
}
resp, err := m.Modify(context.Background(), &mod)
if expectError {
if err == nil {
t.Fatal("Expected error")
}
return
} else if err != nil {
t.Fatal(err)
}
if resp.OrderID != "modified_order_id" {
t.Errorf("have \"%s\", want \"modified_order_id\"", resp.OrderID)
}
det, err := m.orderStore.getByExchangeAndID(testExchange, resp.OrderID)
if err != nil {
t.Fatal(err)
}
if det.OrderID != resp.OrderID || det.Price != price || det.Amount != amount {
t.Errorf(
"have (%s,%f,%f), want (%s,%f,%f)",
det.OrderID, det.Price, det.Amount,
resp.OrderID, price, amount,
)
}
}
model := order.Modify{
// These fields identify the order.
Exchange: testExchange,
AssetType: asset.Spot,
Pair: pair,
OrderID: "fake_order_id",
// These fields modify the order.
Price: 0,
Amount: 0,
}
// [1] Test if nonexistent order returns an error.
one := model
one.OrderID = "nonexistent_order_id"
f(one, true, 0, 0)
// [2] Test if price of 0 is ignored.
two := model
two.Price = 0
two.Amount = 256
f(two, false, 8, 256)
// [3] Test if amount of 0 is ignored.
three := model
three.Price = 16
three.Amount = 0
f(three, false, 16, 128)
// [4] Test if both fields work together.
four := model
four.Price = 16
four.Amount = 256
f(four, false, 16, 256)
// [5] Test if both fields missing modifies anything but the ID.
five := model
five.Price = 0
five.Amount = 0
f(five, false, 8, 128)
}
func TestProcessOrders(t *testing.T) {
var wg sync.WaitGroup
em := SetupExchangeManager()
exch, err := em.NewExchangeByName(testExchange)
if err != nil {
t.Fatal(err)
}
exch.SetDefaults()
fakeExchange := omfExchange{
IBotExchange: exch,
}
em.Add(fakeExchange)
m, err := SetupOrderManager(em, &CommunicationManager{}, &wg, false, false)
if !errors.Is(err, nil) {
t.Errorf("error '%v', expected '%v'", err, nil)
}
m.started = 1
pairs := currency.Pairs{
currency.Pair{Base: currency.BTC, Quote: currency.USD},
}
// Ensure processOrders() can run the REST calls to GetActiveOrders
// and to GetOrders
exch.GetBase().API = exchange.API{
AuthenticatedSupport: true,
AuthenticatedWebsocketSupport: false,
}
exch.GetBase().Features = exchange.Features{
Supports: exchange.FeaturesSupported{
REST: true,
RESTCapabilities: protocol.Features{
GetOrder: true,
},
},
}
exch.GetBase().CurrencyPairs = currency.PairsManager{
UseGlobalFormat: true,
RequestFormat: &currency.PairFormat{
Delimiter: "-",
Uppercase: true,
},
ConfigFormat: &currency.PairFormat{
Delimiter: "-",
Uppercase: true,
},
Pairs: map[asset.Item]*currency.PairStore{
asset.Spot: {
AssetEnabled: convert.BoolPtr(true),
Enabled: pairs,
Available: pairs,
},
},
}
exch.GetBase().Config = &config.Exchange{
CurrencyPairs: &currency.PairsManager{
UseGlobalFormat: true,
RequestFormat: &currency.PairFormat{
Delimiter: "-",
Uppercase: true,
},
ConfigFormat: &currency.PairFormat{
Delimiter: "-",
Uppercase: true,
},
Pairs: map[asset.Item]*currency.PairStore{
asset.Spot: {
AssetEnabled: convert.BoolPtr(true),
Enabled: pairs,
Available: pairs,
},
},
},
}
orders := []order.Detail{
{
Exchange: testExchange,
Pair: pairs[0],
AssetType: asset.Spot,
Amount: 1.0,
Side: order.Buy,
Status: order.UnknownStatus,
LastUpdated: time.Now().Add(-time.Hour),
OrderID: "Order1-unknown-to-active",
},
{
Exchange: testExchange,
Pair: pairs[0],
AssetType: asset.Spot,
Amount: 1.0,
Side: order.Sell,
Status: order.Active,
LastUpdated: time.Now().Add(-time.Hour),
OrderID: "Order2-active-to-inactive",
},
{
Exchange: testExchange,
Pair: pairs[0],
AssetType: asset.Spot,
Amount: 2.0,
Side: order.Sell,
Status: order.UnknownStatus,
LastUpdated: time.Now().Add(-time.Hour),
OrderID: "Order3-unknown-to-active",
},
}
for i := range orders {
if err = m.orderStore.add(&orders[i]); err != nil {
t.Error(err)
}
}
m.processOrders()
// Order1 is not returned by exch.GetActiveOrders()
// It will be fetched by exch.GetOrderInfo(), which will say it is active
res, err := m.GetOrdersFiltered(&order.Filter{OrderID: "Order1-unknown-to-active"})
if err != nil {
t.Error(err)
}
if len(res) != 1 {
t.Errorf("Expected 1 result, got: %d", len(res))
}
if res[0].Status != order.Active {
t.Errorf("Order 1 should be active, but status is %s", res[0].Status)
}
// Order2 is not returned by exch.GetActiveOrders()
// It will be fetched by exch.GetOrderInfo(), which will say it is cancelled
res, err = m.GetOrdersFiltered(&order.Filter{OrderID: "Order2-active-to-inactive"})
if err != nil {
t.Error(err)
}
if len(res) != 1 {
t.Errorf("Expected 1 result, got: %d", len(res))
}
if res[0].Status != order.Cancelled {
t.Errorf("Order 2 should be cancelled, but status is %s", res[0].Status)
}
// Order3 is returned by exch.GetActiveOrders(), which will say it is active
res, err = m.GetOrdersFiltered(&order.Filter{OrderID: "Order3-unknown-to-active"})
if err != nil {
t.Error(err)
}
if len(res) != 1 {
t.Errorf("Expected 1 result, got: %d", len(res))
}
if res[0].Status != order.Active {
t.Errorf("Order 3 should be active, but status is %s", res[0].Status)
}
}
func TestGetOrdersFiltered(t *testing.T) {
m := OrdersSetup(t)
_, err := m.GetOrdersFiltered(nil)
if err == nil {
t.Error("Expected error from nil filter")
}
orders := []order.Detail{
{
Exchange: testExchange,
OrderID: "Test1",
},
{
Exchange: testExchange,
OrderID: "Test2",
},
}
for i := range orders {
if err = m.orderStore.add(&orders[i]); err != nil {
t.Error(err)
}
}
res, err := m.GetOrdersFiltered(&order.Filter{OrderID: "Test2"})
if err != nil {
t.Error(err)
}
if len(res) != 1 {
t.Errorf("Expected 1 result, got: %d", len(res))
}
}
func Test_getFilteredOrders(t *testing.T) {
m := OrdersSetup(t)
_, err := m.orderStore.getFilteredOrders(nil)
if err == nil {
t.Error("Error expected when Filter is nil")
}
orders := []order.Detail{
{
Exchange: testExchange,
OrderID: "Test1",
},
{
Exchange: testExchange,
OrderID: "Test2",
},
}
for i := range orders {
if err = m.orderStore.add(&orders[i]); err != nil {
t.Error(err)
}
}
res, err := m.orderStore.getFilteredOrders(&order.Filter{OrderID: "Test1"})
if err != nil {
t.Error(err)
}
if len(res) != 1 {
t.Errorf("Expected 1 result, got: %d", len(res))
}
}
func TestGetOrdersActive(t *testing.T) {
m := OrdersSetup(t)
var err error
orders := []order.Detail{
{
Exchange: testExchange,
Amount: 1.0,
Side: order.Buy,
Status: order.Cancelled,
OrderID: "Test1",
},
{
Exchange: testExchange,
Amount: 1.0,
Side: order.Sell,
Status: order.Active,
OrderID: "Test2",
},
}
for i := range orders {
if err = m.orderStore.add(&orders[i]); err != nil {
t.Error(err)
}
}
res, err := m.GetOrdersActive(nil)
if err != nil {
t.Error(err)
}
if len(res) != 1 {
t.Errorf("TestGetOrdersActive - Expected 1 result, got: %d", len(res))
}
res, err = m.GetOrdersActive(&order.Filter{Side: order.Sell})
if err != nil {
t.Error(err)
}
if len(res) != 1 {
t.Errorf("TestGetOrdersActive - Expected 1 result, got: %d", len(res))
}
res, err = m.GetOrdersActive(&order.Filter{Side: order.Buy})
if err != nil {
t.Error(err)
}
if len(res) != 0 {
t.Errorf("TestGetOrdersActive - Expected 0 results, got: %d", len(res))
}
}
func Test_processMatchingOrders(t *testing.T) {
m := OrdersSetup(t)
exch, err := m.orderStore.exchangeManager.GetExchangeByName(testExchange)
if err != nil {
t.Fatal(err)
}
orders := []order.Detail{
{
Exchange: testExchange,
OrderID: "Test2",
LastUpdated: time.Now(),
},
{
Exchange: testExchange,
OrderID: "Test4",
LastUpdated: time.Now().Add(-time.Hour),
},
}
var wg sync.WaitGroup
wg.Add(1)
go m.processMatchingOrders(exch, orders, &wg)
wg.Wait()
res, err := m.GetOrdersFiltered(&order.Filter{Exchange: testExchange})
if err != nil {
t.Error(err)
}
if len(res) != 1 {
t.Errorf("Expected 1 result, got: %d", len(res))
}
if res[0].OrderID != "Test4" {
t.Error("Order Test4 should have been fetched and updated")
}
}
func TestFetchAndUpdateExchangeOrder(t *testing.T) {
m := OrdersSetup(t)
exch, err := m.orderStore.exchangeManager.GetExchangeByName(testExchange)
if err != nil {
t.Fatal(err)
}
err = m.FetchAndUpdateExchangeOrder(exch, nil, asset.Spot)
if err == nil {
t.Error("Error expected when order is nil")
}
o := &order.Detail{
Exchange: testExchange,
Amount: 1.0,
Side: order.Sell,
Status: order.Active,
OrderID: "Test",
}
err = m.FetchAndUpdateExchangeOrder(exch, o, asset.Spot)
if err != nil {
t.Error(err)
}
if o.Status != order.Active {
t.Error("Order should be active")
}
res, err := m.GetOrdersFiltered(&order.Filter{Exchange: testExchange})
if err != nil {
t.Error(err)
}
if len(res) != 1 {
t.Errorf("Expected 1 result, got: %d", len(res))
}
o.Status = order.PartiallyCancelled
err = m.FetchAndUpdateExchangeOrder(exch, o, asset.Spot)
if err != nil {
t.Error(err)
}
res, err = m.GetOrdersFiltered(&order.Filter{Exchange: testExchange})
if err != nil {
t.Error(err)
}
if len(res) != 1 {
t.Errorf("Expected 1 result, got: %d", len(res))
}
}
func Test_getActiveOrders(t *testing.T) {
m := OrdersSetup(t)
var err error
orders := []order.Detail{
{
Exchange: testExchange,
Amount: 1.0,
Side: order.Buy,
Status: order.Cancelled,
OrderID: "Test1",
},
{
Exchange: testExchange,
Amount: 1.0,
Side: order.Sell,
Status: order.Active,
OrderID: "Test2",
},
}
for i := range orders {
if err = m.orderStore.add(&orders[i]); err != nil {
t.Error(err)
}
}
res := m.orderStore.getActiveOrders(nil)
if len(res) != 1 {
t.Errorf("Test_getActiveOrders - Expected 1 result, got: %d", len(res))
}
res = m.orderStore.getActiveOrders(&order.Filter{Side: order.Sell})
if len(res) != 1 {
t.Errorf("Test_getActiveOrders - Expected 1 result, got: %d", len(res))
}
res = m.orderStore.getActiveOrders(&order.Filter{Side: order.Buy})
if len(res) != 0 {
t.Errorf("Test_getActiveOrders - Expected 0 results, got: %d", len(res))
}
}
func TestGetFuturesPositionsForExchange(t *testing.T) {
t.Parallel()
o := &OrderManager{}
cp := currency.NewPair(currency.BTC, currency.USDT)
_, err := o.GetFuturesPositionsForExchange("test", asset.Spot, cp)
if !errors.Is(err, ErrSubSystemNotStarted) {
t.Errorf("received '%v', expected '%v'", err, ErrSubSystemNotStarted)
}
o.started = 1
_, err = o.GetFuturesPositionsForExchange("test", asset.Spot, cp)
if !errors.Is(err, errFuturesTrackerNotSetup) {
t.Errorf("received '%v', expected '%v'", err, errFuturesTrackerNotSetup)
}
o.orderStore.futuresPositionController = order.SetupPositionController()
_, err = o.GetFuturesPositionsForExchange("test", asset.Spot, cp)
if !errors.Is(err, order.ErrNotFuturesAsset) {
t.Errorf("received '%v', expected '%v'", err, order.ErrNotFuturesAsset)
}
_, err = o.GetFuturesPositionsForExchange("test", asset.Futures, cp)
if !errors.Is(err, order.ErrPositionsNotLoadedForExchange) {
t.Errorf("received '%v', expected '%v'", err, order.ErrPositionsNotLoadedForExchange)
}
err = o.orderStore.futuresPositionController.TrackNewOrder(&order.Detail{
OrderID: "test",
Date: time.Now(),
Exchange: "test",
AssetType: asset.Futures,
Pair: cp,
Side: order.Buy,
Amount: 1,
Price: 1})
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
resp, err := o.GetFuturesPositionsForExchange("test", asset.Futures, cp)
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
if len(resp) != 1 {
t.Error("expected 1 position")
}
o = nil
_, err = o.GetFuturesPositionsForExchange("test", asset.Futures, cp)
if !errors.Is(err, ErrNilSubsystem) {
t.Errorf("received '%v', expected '%v'", err, ErrNilSubsystem)
}
}
func TestClearFuturesPositionsForExchange(t *testing.T) {
t.Parallel()
o := &OrderManager{}
cp := currency.NewPair(currency.BTC, currency.USDT)
err := o.ClearFuturesTracking("test", asset.Spot, cp)
if !errors.Is(err, ErrSubSystemNotStarted) {
t.Errorf("received '%v', expected '%v'", err, ErrSubSystemNotStarted)
}
o.started = 1
err = o.ClearFuturesTracking("test", asset.Spot, cp)
if !errors.Is(err, errFuturesTrackerNotSetup) {
t.Errorf("received '%v', expected '%v'", err, errFuturesTrackerNotSetup)
}
o.orderStore.futuresPositionController = order.SetupPositionController()
err = o.ClearFuturesTracking("test", asset.Spot, cp)
if !errors.Is(err, order.ErrNotFuturesAsset) {
t.Errorf("received '%v', expected '%v'", err, order.ErrNotFuturesAsset)
}
err = o.ClearFuturesTracking("test", asset.Futures, cp)
if !errors.Is(err, order.ErrPositionsNotLoadedForExchange) {
t.Errorf("received '%v', expected '%v'", err, order.ErrPositionsNotLoadedForExchange)
}
err = o.orderStore.futuresPositionController.TrackNewOrder(&order.Detail{
OrderID: "test",
Date: time.Now(),
Exchange: "test",
AssetType: asset.Futures,
Pair: cp,
Side: order.Buy,
Amount: 1,
Price: 1})
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
err = o.ClearFuturesTracking("test", asset.Futures, cp)
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
resp, err := o.GetFuturesPositionsForExchange("test", asset.Futures, cp)
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
if len(resp) != 0 {
t.Errorf("expected no position, received '%v'", len(resp))
}
o = nil
err = o.ClearFuturesTracking("test", asset.Futures, cp)
if !errors.Is(err, ErrNilSubsystem) {
t.Errorf("received '%v', expected '%v'", err, ErrNilSubsystem)
}
}
func TestUpdateOpenPositionUnrealisedPNL(t *testing.T) {
t.Parallel()
o := &OrderManager{}
cp := currency.NewPair(currency.BTC, currency.USDT)
_, err := o.UpdateOpenPositionUnrealisedPNL("test", asset.Spot, cp, 1, time.Now())
if !errors.Is(err, ErrSubSystemNotStarted) {
t.Errorf("received '%v', expected '%v'", err, ErrSubSystemNotStarted)
}
o.started = 1
_, err = o.UpdateOpenPositionUnrealisedPNL("test", asset.Spot, cp, 1, time.Now())
if !errors.Is(err, errFuturesTrackerNotSetup) {
t.Errorf("received '%v', expected '%v'", err, errFuturesTrackerNotSetup)
}
o.orderStore.futuresPositionController = order.SetupPositionController()
_, err = o.UpdateOpenPositionUnrealisedPNL("test", asset.Spot, cp, 1, time.Now())
if !errors.Is(err, order.ErrNotFuturesAsset) {
t.Errorf("received '%v', expected '%v'", err, order.ErrNotFuturesAsset)
}
_, err = o.UpdateOpenPositionUnrealisedPNL("test", asset.Futures, cp, 1, time.Now())
if !errors.Is(err, order.ErrPositionsNotLoadedForExchange) {
t.Errorf("received '%v', expected '%v'", err, order.ErrPositionsNotLoadedForExchange)
}
err = o.orderStore.futuresPositionController.TrackNewOrder(&order.Detail{
OrderID: "test",
Date: time.Now(),
Exchange: "test",
AssetType: asset.Futures,
Pair: cp,
Side: order.Buy,
Amount: 1,
Price: 1})
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
unrealised, err := o.UpdateOpenPositionUnrealisedPNL("test", asset.Futures, cp, 2, time.Now())
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
if !unrealised.Equal(decimal.NewFromInt(1)) {
t.Errorf("received '%v', expected '%v'", unrealised, 1)
}
o = nil
_, err = o.UpdateOpenPositionUnrealisedPNL("test", asset.Spot, cp, 1, time.Now())
if !errors.Is(err, ErrNilSubsystem) {
t.Errorf("received '%v', expected '%v'", err, ErrNilSubsystem)
}
}
func TestSubmitFakeOrder(t *testing.T) {
t.Parallel()
o := &OrderManager{}
resp := &order.SubmitResponse{}
_, err := o.SubmitFakeOrder(nil, resp, false)
if !errors.Is(err, ErrSubSystemNotStarted) {
t.Errorf("received '%v', expected '%v'", err, ErrSubSystemNotStarted)
}
o.started = 1
_, err = o.SubmitFakeOrder(nil, resp, false)
if !errors.Is(err, errNilOrder) {
t.Errorf("received '%v', expected '%v'", err, errNilOrder)
}
ord := &order.Submit{}
_, err = o.SubmitFakeOrder(ord, resp, false)
if !errors.Is(err, ErrExchangeNameIsEmpty) {
t.Errorf("received '%v', expected '%v'", err, ErrExchangeNameIsEmpty)
}
ord.Exchange = testExchange
ord.AssetType = asset.Spot
ord.Pair = currency.NewPair(currency.BTC, currency.DOGE)
ord.Side = order.Buy
ord.Type = order.Market
ord.Amount = 1337
em := SetupExchangeManager()
exch, err := em.NewExchangeByName(testExchange)
if err != nil {
t.Fatal(err)
}
exch.SetDefaults()
em.Add(exch)
o.orderStore.exchangeManager = em
resp, err = ord.DeriveSubmitResponse("1234")
if err != nil {
t.Fatal(err)
}
resp.Status = order.Filled
o.orderStore.commsManager = &CommunicationManager{}
o.orderStore.Orders = make(map[string][]*order.Detail)
_, err = o.SubmitFakeOrder(ord, resp, false)
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
}
func TestGetOrdersSnapshot(t *testing.T) {
t.Parallel()
o := &OrderManager{}
o.GetOrdersSnapshot(order.AnyStatus)
o.started = 1
o.orderStore.Orders = make(map[string][]*order.Detail)
o.orderStore.Orders[testExchange] = []*order.Detail{
{
Status: order.Open,
},
}
snap := o.GetOrdersSnapshot(order.Open)
if len(snap) != 1 {
t.Error("expected 1")
}
snap = o.GetOrdersSnapshot(order.Closed)
if len(snap) != 0 {
t.Error("expected 0")
}
}
func TestUpdateExisting(t *testing.T) {
t.Parallel()
s := &store{}
s.Orders = make(map[string][]*order.Detail)
err := s.updateExisting(nil)
if !errors.Is(err, errNilOrder) {
t.Errorf("received '%v', expected '%v'", err, errNilOrder)
}
od := &order.Detail{Exchange: testExchange}
err = s.updateExisting(od)
if !errors.Is(err, ErrExchangeNotFound) {
t.Errorf("received '%v', expected '%v'", err, ErrExchangeNotFound)
}
s.Orders[strings.ToLower(testExchange)] = nil
err = s.updateExisting(od)
if !errors.Is(err, ErrOrderNotFound) {
t.Errorf("received '%v', expected '%v'", err, ErrOrderNotFound)
}
od.Exchange = testExchange
od.AssetType = asset.Futures
od.OrderID = "123"
od.Pair = currency.NewPair(currency.BTC, currency.USDT)
od.Side = order.Buy
od.Type = order.Market
od.Date = time.Now()
od.Amount = 1337
s.Orders[strings.ToLower(testExchange)] = []*order.Detail{
od,
}
s.futuresPositionController = order.SetupPositionController()
err = s.futuresPositionController.TrackNewOrder(od)
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
err = s.updateExisting(od)
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
pos, err := s.futuresPositionController.GetPositionsForExchange(testExchange, asset.Futures, od.Pair)
if !errors.Is(err, nil) {
t.Errorf("received '%v', expected '%v'", err, nil)
}
if len(pos) != 1 {
t.Error("expected 1")
}
}
func TestOrderManagerExists(t *testing.T) {
t.Parallel()
o := &OrderManager{}
if o.Exists(nil) {
t.Error("expected false")
}
o.started = 1
if o.Exists(nil) {
t.Error("expected false")
}
o = nil
if o.Exists(nil) {
t.Error("expected false")
}
}
func TestOrderManagerAdd(t *testing.T) {
t.Parallel()
o := &OrderManager{}
err := o.Add(nil)
if !errors.Is(err, ErrSubSystemNotStarted) {
t.Errorf("received '%v', expected '%v'", err, ErrSubSystemNotStarted)
}
o.started = 1
err = o.Add(nil)
if !errors.Is(err, errNilOrder) {
t.Errorf("received '%v', expected '%v'", err, errNilOrder)
}
o = nil
err = o.Add(nil)
if !errors.Is(err, ErrNilSubsystem) {
t.Errorf("received '%v', expected '%v'", err, ErrNilSubsystem)
}
}