From aced149ee88d77d6986a195c774ac524e5f9a3f1 Mon Sep 17 00:00:00 2001 From: c9s Date: Tue, 19 Mar 2024 15:29:18 +0800 Subject: [PATCH] xalign: add more complex test case for xalign strategy --- pkg/bbgo/session.go | 4 + pkg/strategy/xalign/strategy.go | 31 +++- pkg/strategy/xalign/strategy_test.go | 216 +++++++++++++++++++++++++++ 3 files changed, 245 insertions(+), 6 deletions(-) create mode 100644 pkg/strategy/xalign/strategy_test.go diff --git a/pkg/bbgo/session.go b/pkg/bbgo/session.go index b61c6f5ed2..8a9bef426c 100644 --- a/pkg/bbgo/session.go +++ b/pkg/bbgo/session.go @@ -659,6 +659,10 @@ func (session *ExchangeSession) Markets() types.MarketMap { return session.markets } +func (session *ExchangeSession) SetMarkets(markets types.MarketMap) { + session.markets = markets +} + func (session *ExchangeSession) OrderStore(symbol string) (store *core.OrderStore, ok bool) { store, ok = session.orderStores[symbol] return store, ok diff --git a/pkg/strategy/xalign/strategy.go b/pkg/strategy/xalign/strategy.go index e9d534e5a4..e71445e7b1 100644 --- a/pkg/strategy/xalign/strategy.go +++ b/pkg/strategy/xalign/strategy.go @@ -138,15 +138,16 @@ func (s *Strategy) selectSessionForCurrency( } // check both fromQuoteCurrency/currency and currency/fromQuoteCurrency + reversed := false baseCurrency := currency quoteCurrency := fromQuoteCurrency - symbol := currency + fromQuoteCurrency + symbol := currency + quoteCurrency market, ok := session.Market(symbol) if !ok { // for TWD in USDT/TWD market, buy TWD means sell USDT baseCurrency = fromQuoteCurrency quoteCurrency = currency - symbol = fromQuoteCurrency + currency + symbol = baseCurrency + currency market, ok = session.Market(symbol) if !ok { continue @@ -154,6 +155,7 @@ func (s *Strategy) selectSessionForCurrency( // reverse side side = side.Reverse() + reversed = true } ticker, err := session.Exchange.QueryTicker(ctx, symbol) @@ -169,9 +171,16 @@ func (s *Strategy) selectSessionForCurrency( q := changeQuantity.Abs() // a fast filtering - if q.Compare(market.MinQuantity) < 0 { - log.Debugf("skip dust quantity: %f", q.Float64()) - continue + if reversed { + if q.Compare(market.MinNotional) < 0 { + log.Debugf("skip dust notional: %f", q.Float64()) + continue + } + } else { + if q.Compare(market.MinQuantity) < 0 { + log.Debugf("skip dust quantity: %f", q.Float64()) + continue + } } log.Infof("%s changeQuantity: %f ticker: %+v market: %+v", symbol, changeQuantity.Float64(), ticker, market) @@ -193,7 +202,13 @@ func (s *Strategy) selectSessionForCurrency( continue } - requiredQuoteAmount := q.Mul(price) + requiredQuoteAmount := fixedpoint.Zero + if reversed { + requiredQuoteAmount = q + } else { + requiredQuoteAmount = q.Mul(price) + } + requiredQuoteAmount = requiredQuoteAmount.Round(market.PricePrecision, fixedpoint.Up) if requiredQuoteAmount.Compare(quoteBalance.Available) > 0 { log.Warnf("required quote amount %f > quote balance %v, skip", requiredQuoteAmount.Float64(), quoteBalance) @@ -243,6 +258,10 @@ func (s *Strategy) selectSessionForCurrency( price = ticker.Sell } + if reversed { + q = q.Div(price) + } + baseBalance, ok := session.Account.Balance(baseCurrency) if !ok { continue diff --git a/pkg/strategy/xalign/strategy_test.go b/pkg/strategy/xalign/strategy_test.go new file mode 100644 index 0000000000..a8c77fc4c9 --- /dev/null +++ b/pkg/strategy/xalign/strategy_test.go @@ -0,0 +1,216 @@ +//go:build !dnum + +package xalign + +import ( + "context" + "testing" + + "github.com/stretchr/testify/assert" + + "go.uber.org/mock/gomock" + + "github.com/c9s/bbgo/pkg/bbgo" + "github.com/c9s/bbgo/pkg/fixedpoint" + . "github.com/c9s/bbgo/pkg/testing/testhelper" + "github.com/c9s/bbgo/pkg/types" + "github.com/c9s/bbgo/pkg/types/mocks" +) + +// cat ~/.bbgo/cache/max-markets.json | jq '.[] | select(.symbol == "USDTTWD")' +func getTestMarkets() types.MarketMap { + return map[string]types.Market{ + "ETHBTC": { + Exchange: types.ExchangeMax, + Symbol: "ETHBTC", + LocalSymbol: "ETHBTC", + PricePrecision: 6, + VolumePrecision: 4, + BaseCurrency: "ETH", + QuoteCurrency: "BTC", + MinNotional: Number(0.00030000), + MinAmount: Number(0.00030000), + MinQuantity: Number(0.00460000), + StepSize: Number(0.00010000), + TickSize: Number(0.00000100), + }, + "BTCUSDT": { + Exchange: types.ExchangeMax, + Symbol: "BTCUSDT", + LocalSymbol: "BTCUSDT", + PricePrecision: 2, + VolumePrecision: 6, + BaseCurrency: "BTC", + QuoteCurrency: "USDT", + MinNotional: Number(8.00000000), + MinAmount: Number(8.00000000), + MinQuantity: Number(0.00030000), + StepSize: Number(0.00000100), + TickSize: Number(0.01000000), + }, + "BTCTWD": { + Exchange: types.ExchangeMax, + Symbol: "BTCTWD", + LocalSymbol: "BTCTWD", + PricePrecision: 1, + VolumePrecision: 8, + BaseCurrency: "BTC", + QuoteCurrency: "TWD", + MinNotional: Number(250.00000000), + MinAmount: Number(250.00000000), + MinQuantity: Number(0.00030000), + StepSize: Number(0.00000001), + TickSize: Number(0.01000000), + }, + "ETHUSDT": { + Exchange: types.ExchangeMax, + Symbol: "ETHUSDT", + LocalSymbol: "ETHUSDT", + PricePrecision: 2, + VolumePrecision: 6, + BaseCurrency: "ETH", + QuoteCurrency: "USDT", + MinNotional: Number(8.00000000), + MinAmount: Number(8.00000000), + MinQuantity: Number(0.00460000), + StepSize: Number(0.00001000), + TickSize: Number(0.01000000), + }, + "ETHTWD": { + Exchange: types.ExchangeMax, + Symbol: "ETHTWD", + LocalSymbol: "ETHTWD", + PricePrecision: 1, + VolumePrecision: 6, + BaseCurrency: "ETH", + QuoteCurrency: "TWD", + MinNotional: Number(250.00000000), + MinAmount: Number(250.00000000), + MinQuantity: Number(0.00460000), + StepSize: Number(0.00000100), + TickSize: Number(0.10000000), + }, + "USDTTWD": { + Exchange: types.ExchangeMax, + Symbol: "USDTTWD", + LocalSymbol: "USDTTWD", + PricePrecision: 3, + VolumePrecision: 2, + BaseCurrency: "USDT", + QuoteCurrency: "TWD", + MinNotional: Number(250.00000000), + MinAmount: Number(250.00000000), + MinQuantity: Number(8.00000000), + StepSize: Number(0.01000000), + TickSize: Number(0.00100000), + }, + } +} + +func TestStrategy(t *testing.T) { + mockCtrl := gomock.NewController(t) + defer mockCtrl.Finish() + + ctx := context.Background() + s := &Strategy{ + ExpectedBalances: map[string]fixedpoint.Value{ + "TWD": Number(10_000), + }, + PreferredQuoteCurrencies: &QuoteCurrencyPreference{ + Buy: []string{"TWD", "USDT"}, + Sell: []string{"USDT"}, + }, + PreferredSessions: []string{"max"}, + UseTakerOrder: true, + } + + testMarkets := getTestMarkets() + + t.Run("buy TWD", func(t *testing.T) { + mockEx := mocks.NewMockExchange(mockCtrl) + mockEx.EXPECT().QueryTicker(ctx, "USDTTWD").Return(&types.Ticker{ + Buy: Number(32.0), + Sell: Number(33.0), + }, nil) + + account := types.NewAccount() + account.AddBalance("TWD", Number(20_000)) + account.AddBalance("USDT", Number(80_000)) + + session := &bbgo.ExchangeSession{ + Exchange: mockEx, + Account: account, + } + session.SetMarkets(testMarkets) + sessions := map[string]*bbgo.ExchangeSession{} + sessions["max"] = session + + _, submitOrder := s.selectSessionForCurrency(ctx, sessions, "TWD", Number(70_000)) + assert.NotNil(t, submitOrder) + assert.Equal(t, types.SideTypeSell, submitOrder.Side) + assert.Equal(t, Number(32).String(), submitOrder.Price.String()) + assert.Equal(t, "2187.5", submitOrder.Quantity.String(), "70_000 / 32 best bid = 2187.5") + }) + + t.Run("sell TWD", func(t *testing.T) { + mockEx := mocks.NewMockExchange(mockCtrl) + mockEx.EXPECT().QueryTicker(ctx, "USDTTWD").Return(&types.Ticker{ + Buy: Number(32.0), + Sell: Number(33.0), + }, nil) + + account := types.NewAccount() + account.AddBalance("TWD", Number(20_000)) + account.AddBalance("USDT", Number(80_000)) + + session := &bbgo.ExchangeSession{ + Exchange: mockEx, + Account: account, + } + session.SetMarkets(testMarkets) + sessions := map[string]*bbgo.ExchangeSession{} + sessions["max"] = session + + _, submitOrder := s.selectSessionForCurrency(ctx, sessions, "TWD", Number(-10_000)) + assert.NotNil(t, submitOrder) + assert.Equal(t, types.SideTypeBuy, submitOrder.Side) + assert.Equal(t, Number(33).String(), submitOrder.Price.String()) + assert.Equal(t, "303.03", submitOrder.Quantity.String(), "10_000 / 33 best ask = 303.0303030303") + }) + + t.Run("buy BTC with USDT instead of TWD", func(t *testing.T) { + mockEx := mocks.NewMockExchange(mockCtrl) + + mockEx.EXPECT().QueryTicker(ctx, "BTCTWD").Return(&types.Ticker{ + Sell: Number(36000.0 * 32), + Buy: Number(35000.0 * 31), + }, nil) + + mockEx.EXPECT().QueryTicker(ctx, "BTCUSDT").Return(&types.Ticker{ + Sell: Number(36000.0), + Buy: Number(35000.0), + }, nil) + + account := types.NewAccount() + account.AddBalance("BTC", Number(0.955)) + account.AddBalance("TWD", Number(60_000)) + account.AddBalance("USDT", Number(80_000)) + + // 36000.0 * 32 * 0.045 + + session := &bbgo.ExchangeSession{ + Exchange: mockEx, + Account: account, + } + + session.SetMarkets(testMarkets) + sessions := map[string]*bbgo.ExchangeSession{} + sessions["max"] = session + + _, submitOrder := s.selectSessionForCurrency(ctx, sessions, "BTC", Number(0.045)) + assert.NotNil(t, submitOrder) + assert.Equal(t, types.SideTypeBuy, submitOrder.Side) + assert.Equal(t, "36000", submitOrder.Price.String()) + assert.Equal(t, "0.045", submitOrder.Quantity.String()) + }) +}