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volumeFilter_test.go
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volumeFilter_test.go
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package plugins
import (
"database/sql"
"fmt"
"strings"
"testing"
"github.com/openlyinc/pointy"
"github.com/stretchr/testify/assert"
hProtocol "github.com/stellar/go/protocols/horizon"
"github.com/stellar/go/txnbuild"
"github.com/stellar/kelp/model"
"github.com/stellar/kelp/queries"
"github.com/stellar/kelp/support/utils"
)
var testBaseAsset = txnbuild.NativeAsset{}
var testQuoteAsset txnbuild.CreditAsset = txnbuild.CreditAsset{Code: "QUOTE", Issuer: "GBGQAGAMK6W6FH6AGGZ2BI2MY5TA5VJEHU2DQRFXACMAZHNRD3SXEV6Z"}
func makeWantVolumeFilter(config *VolumeFilterConfig, marketIDs []string, accountIDs []string, action queries.DailyVolumeAction) *volumeFilter {
query, e := queries.MakeDailyVolumeByDateForMarketIdsAction(&sql.DB{}, marketIDs, action, accountIDs)
if e != nil {
panic(e)
}
return &volumeFilter{
name: "volumeFilter",
configValue: "",
baseAsset: utils.NativeAsset,
quoteAsset: utils.NativeAsset,
config: config,
dailyVolumeByDateQuery: query,
}
}
func TestMakeFilterVolume(t *testing.T) {
testAssetDisplayFn := model.MakeSdexMappedAssetDisplayFn(map[model.Asset]hProtocol.Asset{model.Asset("XLM"): utils.NativeAsset})
configValue := ""
tradingPair := &model.TradingPair{Base: "XLM", Quote: "XLM"}
testCases := []struct {
name string
exchangeName string
marketIDs []string
accountIDs []string
wantMarketIDs []string
wantFilter *volumeFilter
}{
{
name: "0 market id or account id",
exchangeName: "exchange 2",
marketIDs: []string{},
accountIDs: []string{},
wantMarketIDs: []string{"9db20cdd56"},
},
{
name: "1 market id",
exchangeName: "exchange 1",
marketIDs: []string{"marketID"},
accountIDs: []string{},
wantMarketIDs: []string{"6d9862b0e2", "marketID"},
},
{
name: "2 market ids",
exchangeName: "exchange 2",
marketIDs: []string{"marketID1", "marketID2"},
accountIDs: []string{},
wantMarketIDs: []string{"9db20cdd56", "marketID1", "marketID2"},
},
{
name: "2 dupe market ids, 1 distinct",
exchangeName: "exchange 1",
marketIDs: []string{"marketID1", "marketID1", "marketID2"},
accountIDs: []string{},
wantMarketIDs: []string{"6d9862b0e2", "marketID1", "marketID2"},
},
{
name: "1 account id",
exchangeName: "exchange 2",
marketIDs: []string{},
accountIDs: []string{"accountID"},
wantMarketIDs: []string{"9db20cdd56"},
},
{
name: "2 account ids",
exchangeName: "exchange 1",
marketIDs: []string{},
accountIDs: []string{"accountID1", "accountID2"},
wantMarketIDs: []string{"6d9862b0e2"},
},
{
name: "account and market ids",
exchangeName: "exchange 2",
marketIDs: []string{"marketID"},
accountIDs: []string{"accountID"},
wantMarketIDs: []string{"9db20cdd56", "marketID"},
},
}
caseNo := 1
for _, k := range testCases {
// this lets us test both types of modes when varying the market and account ids
for _, m := range []volumeFilterMode{volumeFilterModeExact, volumeFilterModeIgnore} {
// this lets us test both buy and sell
for _, action := range []queries.DailyVolumeAction{queries.DailyVolumeActionSell, queries.DailyVolumeActionBuy} {
// this lets us run the for-loop below for both base and quote units within the config
baseCapInBaseConfig := makeRawVolumeFilterConfig(
pointy.Float64(1.0),
nil,
action,
m,
k.marketIDs,
k.accountIDs,
)
baseCapInQuoteConfig := makeRawVolumeFilterConfig(
nil,
pointy.Float64(1.0),
action,
m,
k.marketIDs,
k.accountIDs,
)
for _, config := range []*VolumeFilterConfig{baseCapInBaseConfig, baseCapInQuoteConfig} {
// configType is used to represent the type of config when printing test name
configType := "quote"
if config.BaseAssetCapInBaseUnits != nil {
configType = "base"
}
wantFilter := makeWantVolumeFilter(config, k.wantMarketIDs, k.accountIDs, action)
testCaseInstanceName := fmt.Sprintf("%d. %s,%s,%s,%s", caseNo, k.name, configType, m, action.String())
caseNo++
t.Run(testCaseInstanceName, func(t *testing.T) {
actual, e := makeFilterVolume(
configValue,
k.exchangeName,
tradingPair,
testAssetDisplayFn,
utils.NativeAsset,
utils.NativeAsset,
&sql.DB{},
config,
)
if !assert.Nil(t, e) {
return
}
assert.Equal(t, wantFilter, actual)
})
}
}
}
}
}
func TestMakeFilterVolume_FailsOnEmptyConfig(t *testing.T) {
testAssetDisplayFn := model.MakeSdexMappedAssetDisplayFn(map[model.Asset]hProtocol.Asset{model.Asset("XLM"): utils.NativeAsset})
tradingPair := &model.TradingPair{Base: "XLM", Quote: "XLM"}
configUnderTest := &VolumeFilterConfig{}
_, e := makeFilterVolume(
"someConfigValue",
"someExchangeName",
tradingPair,
testAssetDisplayFn,
utils.NativeAsset,
utils.NativeAsset,
&sql.DB{},
configUnderTest,
)
if !assert.Error(t, e) {
return
}
assert.True(t, strings.HasPrefix(e.Error(), "invalid config"), e.Error())
}
// volumeFilterFnTestCase is the input that will be reused across all tests of type TestVolumeFilterFn*
type volumeFilterFnTestCase struct {
name string
cap float64
otb float64
tbb float64
inputPrice float64
inputAmount float64
wantPrice *float64
wantAmount *float64
wantTbbBase float64
wantTbbQuote float64
}
func TestVolumeFilterFn_BaseCap_Exact(t *testing.T) {
// We want to test the following 4 valid combinations of OTB and TBB values:
// otb = 0
// tbb = 0
// otb = 0 && tbb = 0
// otb > 0 && tbb > 0
// We also want to test 3 combinations of cap relationship to projected (<, =, >)
// Finally, if projected > cap, we want to test 3 possible values of newAmount (+, 0, -)
// The above gives 4 * (2 + 1*3) = 20.
// One generated case is impossible in the code: otb = 0 && tbb = 0, newAmount < 0
// so we have 19 cases
testCases := []volumeFilterFnTestCase{
{
name: "1. otb = 0; projected < cap",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 4.99,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(4.99),
wantTbbBase: 9.99,
wantTbbQuote: 9.98,
},
{
name: "2. otb = 0; projected = cap",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 5.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(5),
wantTbbBase: 10,
wantTbbQuote: 10,
},
{
name: "3. otb = 0; projected > cap, newAmount > 0",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 5.01,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(5.0),
wantTbbBase: 10,
wantTbbQuote: 10,
},
{
name: "4. otb = 0; projected > cap, newAmount = 0",
cap: 10.0,
otb: 0,
tbb: 10,
inputPrice: 2.0,
inputAmount: 5.01,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 10,
wantTbbQuote: 0,
},
{
name: "5. otb = 0; projected > cap, newAmount < 0",
cap: 10.0,
otb: 0,
tbb: 11,
inputPrice: 2.0,
inputAmount: 5.01,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 11,
wantTbbQuote: 0,
},
{
name: "6. tbb = 0; projected < cap",
cap: 10.0,
otb: 5,
tbb: 0,
inputPrice: 2.0,
inputAmount: 4.99,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(4.99),
wantTbbBase: 4.99,
wantTbbQuote: 9.98,
},
{
name: "7. tbb = 0; projected = cap",
cap: 10.0,
otb: 5,
tbb: 0,
inputPrice: 2.0,
inputAmount: 5.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(5.0),
wantTbbBase: 5,
wantTbbQuote: 10,
},
{
name: "8. tbb = 0; projected > cap, newAmount > 0",
cap: 10.0,
otb: 5,
tbb: 0,
inputPrice: 2.0,
inputAmount: 6.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(5.0),
wantTbbBase: 5,
wantTbbQuote: 10,
},
{
name: "9. tbb = 0; projected > cap, newAmount = 0",
cap: 10.0,
otb: 10,
tbb: 0,
inputPrice: 2.0,
inputAmount: 6.0,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 0,
wantTbbQuote: 0,
},
{
name: "10. tbb = 0; projected > cap, newAmount < 0",
cap: 10.0,
otb: 11,
tbb: 0,
inputPrice: 2.0,
inputAmount: 6.0,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 0,
wantTbbQuote: 0,
},
{
name: "11. otb = 0 && tbb = 0; projected < cap",
cap: 10.0,
otb: 0,
tbb: 0,
inputPrice: 2.0,
inputAmount: 5.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(5.0),
wantTbbBase: 5,
wantTbbQuote: 10,
},
{
name: "12. otb = 0 && tbb = 0; projected = cap",
cap: 10.0,
otb: 0,
tbb: 0,
inputPrice: 2.0,
inputAmount: 10.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(10.0),
wantTbbBase: 10,
wantTbbQuote: 20,
},
{
// note that in this case, newAmount >= 0, since newAmount = cap - otb - tbb
name: "13. otb = 0 && tbb = 0; projected > cap, newAmount > 0",
cap: 10.0,
otb: 0,
tbb: 0,
inputPrice: 2.0,
inputAmount: 15.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(10.0),
wantTbbBase: 10,
wantTbbQuote: 20,
},
{
name: "14. otb = 0 && tbb = 0; projected > cap, newAmount = 0",
cap: 0.0,
otb: 0,
tbb: 0,
inputPrice: 2.0,
inputAmount: 15.0,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 0,
wantTbbQuote: 0,
},
// it is not possible for otb = 0 && tbb = 0 and newAmount < 0, so skipping that case
{
name: "15. otb > 0 && tbb > 0; projected < cap",
cap: 10.0,
otb: 1,
tbb: 1,
inputPrice: 2.0,
inputAmount: 5.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(5.0),
wantTbbBase: 6,
wantTbbQuote: 10,
},
{
name: "16. otb > 0 && tbb > 0; projected = cap",
cap: 10.0,
otb: 2,
tbb: 2,
inputPrice: 2.0,
inputAmount: 6.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(6.0),
wantTbbBase: 8,
wantTbbQuote: 12,
},
{
name: "17. otb > 0 && tbb > 0; projected > cap, newAmount > 0",
cap: 10.0,
otb: 2,
tbb: 2,
inputPrice: 2.0,
inputAmount: 7.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(6.0),
wantTbbBase: 8,
wantTbbQuote: 12,
},
{
name: "18. otb > 0 && tbb > 0; projected > cap, newAmount = 0",
cap: 10.0,
otb: 5,
tbb: 5,
inputPrice: 2.0,
inputAmount: 7.0,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 5,
wantTbbQuote: 0,
},
{
name: "19. otb > 0 && tbb > 0; projected > cap, newAmount < 0",
cap: 10.0,
otb: 5,
tbb: 5.1,
inputPrice: 2.0,
inputAmount: 7.0,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 5.1,
wantTbbQuote: 0,
},
}
for _, k := range testCases {
// convert to common format accepted by runTestVolumeFilterFn
// test sell action
sellName := fmt.Sprintf("%s, sell", k.name)
inputSellOp := makeSellOpAmtPrice(k.inputAmount, k.inputPrice)
var wantSellOp *txnbuild.ManageSellOffer
if k.wantPrice != nil && k.wantAmount != nil {
wantSellOp = makeSellOpAmtPrice(*k.wantAmount, *k.wantPrice)
}
runTestVolumeFilterFn(
t,
sellName,
volumeFilterModeExact,
queries.DailyVolumeActionSell,
pointy.Float64(k.cap), // base cap
nil, // quote cap nil because this test is for the BaseCap
pointy.Float64(k.otb), // baseOTB
nil, // quoteOTB nil because this test is for the BaseCap
pointy.Float64(k.tbb), // baseTBB
pointy.Float64(0), // quoteTBB (non-nil since it accumulates)
inputSellOp,
wantSellOp,
pointy.Float64(k.wantTbbBase),
pointy.Float64(k.wantTbbQuote),
)
// test buy action
buyName := fmt.Sprintf("%s, buy", k.name)
inputBuyOp := makeBuyOpAmtPrice(k.inputAmount, k.inputPrice)
var wantBuyOp *txnbuild.ManageSellOffer
if k.wantPrice != nil && k.wantAmount != nil {
wantBuyOp = makeBuyOpAmtPrice(*k.wantAmount, *k.wantPrice)
}
runTestVolumeFilterFn(
t,
buyName,
volumeFilterModeExact,
queries.DailyVolumeActionBuy,
pointy.Float64(k.cap), // base cap
nil, // quote cap nil because this test is for the BaseCap
pointy.Float64(k.otb), // baseOTB
nil, // quoteOTB nil because this test is for the BaseCap
pointy.Float64(k.tbb), // baseTBB
pointy.Float64(0), // quoteTBB (non-nil since it accumulates)
inputBuyOp,
wantBuyOp,
pointy.Float64(k.wantTbbBase),
pointy.Float64(k.wantTbbQuote),
)
}
}
func TestVolumeFilterFn_BaseCap_Ignore(t *testing.T) {
// We want to test the following 4 valid combinations of OTB and TBB values:
// otb = 0
// tbb = 0
// otb = 0 && tbb = 0
// otb > 0 && tbb > 0
// 12 cases here; 4 combinations of tbb/otb values from bullet points above x 3 combinations of cap relationship to projected (<, =, >)
testCases := []volumeFilterFnTestCase{
{
name: "1. otb = 0; projected < cap",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 4.99,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(4.99),
wantTbbBase: 9.99,
wantTbbQuote: 9.98,
},
{
name: "2. otb = 0; projected = cap",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 5.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(5),
wantTbbBase: 10,
wantTbbQuote: 10,
},
{
name: "3. otb = 0; projected > cap",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 5.01,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 5,
wantTbbQuote: 0,
},
{
name: "4. tbb = 0; projected < cap",
cap: 10.0,
otb: 5,
tbb: 0,
inputPrice: 2.0,
inputAmount: 4.99,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(4.99),
wantTbbBase: 4.99,
wantTbbQuote: 9.98,
},
{
name: "5. tbb = 0; projected = cap",
cap: 10.0,
otb: 5,
tbb: 0,
inputPrice: 2.0,
inputAmount: 5.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(5.0),
wantTbbBase: 5,
wantTbbQuote: 10,
},
{
name: "6. tbb = 0; projected > cap",
cap: 10.0,
otb: 5,
tbb: 0,
inputPrice: 2.0,
inputAmount: 6.0,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 0,
wantTbbQuote: 0,
},
{
name: "7. otb = 0 && tbb = 0; projected < cap",
cap: 10.0,
otb: 0,
tbb: 0,
inputPrice: 2.0,
inputAmount: 5.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(5.0),
wantTbbBase: 5,
wantTbbQuote: 10,
},
{
name: "8. otb = 0 && tbb = 0; projected = cap",
cap: 10.0,
otb: 0,
tbb: 0,
inputPrice: 2.0,
inputAmount: 10.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(10.0),
wantTbbBase: 10,
wantTbbQuote: 20,
},
{
name: "9. otb = 0 && tbb = 0; projected > cap",
cap: 10.0,
otb: 0,
tbb: 0,
inputPrice: 2.0,
inputAmount: 15.0,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 0,
wantTbbQuote: 0,
},
{
name: "10. otb > 0 && tbb > 0; projected < cap",
cap: 10.0,
otb: 1,
tbb: 1,
inputPrice: 2.0,
inputAmount: 5.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(5.0),
wantTbbBase: 6,
wantTbbQuote: 10,
},
{
name: "11. otb > 0 && tbb > 0; projected = cap",
cap: 10.0,
otb: 2,
tbb: 2,
inputPrice: 2.0,
inputAmount: 6.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(6.0),
wantTbbBase: 8,
wantTbbQuote: 12,
},
{
name: "12. otb > 0 && tbb > 0; projected > cap",
cap: 10.0,
otb: 2,
tbb: 2,
inputPrice: 2.0,
inputAmount: 7.0,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 2,
wantTbbQuote: 0,
},
}
for _, k := range testCases {
// convert to common format accepted by runTestVolumeFilterFn
// test sell action
sellName := fmt.Sprintf("%s, sell", k.name)
inputSellOp := makeSellOpAmtPrice(k.inputAmount, k.inputPrice)
var wantSellOp *txnbuild.ManageSellOffer
if k.wantPrice != nil && k.wantAmount != nil {
wantSellOp = makeSellOpAmtPrice(*k.wantAmount, *k.wantPrice)
}
runTestVolumeFilterFn(
t,
sellName,
volumeFilterModeIgnore,
queries.DailyVolumeActionSell,
pointy.Float64(k.cap), // base cap
nil, // quote cap nil because this test is for the BaseCap
pointy.Float64(k.otb), // baseOTB
nil, // quoteOTB nil because this test is for the BaseCap
pointy.Float64(k.tbb), // baseTBB
pointy.Float64(0), // quoteTBB (non-nil since it accumulates)
inputSellOp,
wantSellOp,
pointy.Float64(k.wantTbbBase),
pointy.Float64(k.wantTbbQuote),
)
// test buy action
buyName := fmt.Sprintf("%s, buy", k.name)
inputBuyOp := makeBuyOpAmtPrice(k.inputAmount, k.inputPrice)
var wantBuyOp *txnbuild.ManageSellOffer
if k.wantPrice != nil && k.wantAmount != nil {
wantBuyOp = makeBuyOpAmtPrice(*k.wantAmount, *k.wantPrice)
}
runTestVolumeFilterFn(
t,
buyName,
volumeFilterModeIgnore,
queries.DailyVolumeActionBuy,
pointy.Float64(k.cap), // base cap
nil, // quote cap nil because this test is for the BaseCap
pointy.Float64(k.otb), // baseOTB
nil, // quoteOTB nil because this test is for the BaseCap
pointy.Float64(k.tbb), // baseTBB
pointy.Float64(0), // quoteTBB (non-nil since it accumulates)
inputBuyOp,
wantBuyOp,
pointy.Float64(k.wantTbbBase),
pointy.Float64(k.wantTbbQuote),
)
}
}
func TestVolumeFilterFn_QuoteCap_Ignore(t *testing.T) {
// We want to test the following 4 valid combinations of OTB and TBB values:
// otb = 0
// tbb = 0
// otb = 0 && tbb = 0
// otb > 0 && tbb > 0
// 12 cases here; 4 combinations of tbb/otb values from bullet points above x 3 combinations of cap relationship to projected (<, =, >)
testCases := []volumeFilterFnTestCase{
{
name: "1. otb = 0; projected < cap",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 2.49,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(2.49),
wantTbbBase: 2.49,
wantTbbQuote: 9.98,
},
{
name: "2. otb = 0; projected = cap",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 2.5,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(2.5),
wantTbbBase: 2.5,
wantTbbQuote: 10,
},
{
name: "3. otb = 0; projected > cap",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 5.01,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 0,
wantTbbQuote: 5,
},
{
name: "4. tbb = 0; projected < cap",
cap: 10.0,
otb: 5,
tbb: 0,
inputPrice: 2.0,
inputAmount: 2.49,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(2.49),
wantTbbBase: 2.49,
wantTbbQuote: 4.98,
},
{
name: "5. tbb = 0; projected = cap",
cap: 10.0,
otb: 5,
tbb: 0,
inputPrice: 2.0,
inputAmount: 2.5,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(2.5),
wantTbbBase: 2.5,
wantTbbQuote: 5,
},
{
name: "6. tbb = 0; projected > cap",
cap: 10.0,
otb: 5,
tbb: 0,
inputPrice: 2.0,
inputAmount: 6.0,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 0,
wantTbbQuote: 0,
},
{
name: "7. otb = 0 && tbb = 0; projected < cap",
cap: 10.0,
otb: 0,
tbb: 0,
inputPrice: 2.0,
inputAmount: 2.5,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(2.5),
wantTbbBase: 2.5,
wantTbbQuote: 5,
},
{
name: "8. otb = 0 && tbb = 0; projected = cap",
cap: 10.0,
otb: 0,
tbb: 0,
inputPrice: 2.0,
inputAmount: 5.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(5.0),
wantTbbBase: 5,
wantTbbQuote: 10,
},
{
name: "9. otb = 0 && tbb = 0; projected > cap",
cap: 10.0,
otb: 0,
tbb: 0,
inputPrice: 2.0,
inputAmount: 15.0,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 0,
wantTbbQuote: 0,
},
{
name: "10. otb > 0 && tbb > 0; projected < cap",
cap: 10.0,
otb: 1,
tbb: 1,
inputPrice: 2.0,
inputAmount: 2.5,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(2.5),
wantTbbBase: 2.5,
wantTbbQuote: 6,
},
{
name: "11. otb > 0 && tbb > 0; projected = cap",
cap: 10.0,
otb: 2,
tbb: 2,
inputPrice: 2.0,
inputAmount: 3.0,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(3.0),
wantTbbBase: 3,
wantTbbQuote: 8,
},
{
name: "12. otb > 0 && tbb > 0; projected > cap",
cap: 10.0,
otb: 2,
tbb: 2,
inputPrice: 2.0,
inputAmount: 7.0,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 0,
wantTbbQuote: 2,
},
}
for _, k := range testCases {
// convert to common format accepted by runTestVolumeFilterFn
// test sell action
sellName := fmt.Sprintf("%s, sell", k.name)
inputSellOp := makeSellOpAmtPrice(k.inputAmount, k.inputPrice)
var wantSellOp *txnbuild.ManageSellOffer
if k.wantPrice != nil && k.wantAmount != nil {
wantSellOp = makeSellOpAmtPrice(*k.wantAmount, *k.wantPrice)
}
runTestVolumeFilterFn(
t,
sellName,
volumeFilterModeIgnore,
queries.DailyVolumeActionSell,
nil, // base cap nil because this test is for the QuoteCap
pointy.Float64(k.cap), // quote cap
nil, // baseOTB nil because this test is for the QuoteCap
pointy.Float64(k.otb), // quoteOTB
pointy.Float64(0), // baseTBB (non-nil since it accumulates)
pointy.Float64(k.tbb), // quoteTBB
inputSellOp,
wantSellOp,
pointy.Float64(k.wantTbbBase),
pointy.Float64(k.wantTbbQuote),
)
// test buy action
buyName := fmt.Sprintf("%s, buy", k.name)
inputBuyOp := makeBuyOpAmtPrice(k.inputAmount, k.inputPrice)
var wantBuyOp *txnbuild.ManageSellOffer
if k.wantPrice != nil && k.wantAmount != nil {
wantBuyOp = makeBuyOpAmtPrice(*k.wantAmount, *k.wantPrice)
}
runTestVolumeFilterFn(
t,
buyName,
volumeFilterModeIgnore,
queries.DailyVolumeActionBuy,
nil, // base cap nil because this test is for the QuoteCap
pointy.Float64(k.cap), // quote cap
nil, // baseOTB nil because this test is for the QuoteCap
pointy.Float64(k.otb), // quoteOTB
pointy.Float64(0), // baseTBB (non-nil since it accumulates)
pointy.Float64(k.tbb), // quoteTBB
inputBuyOp,
wantBuyOp,
pointy.Float64(k.wantTbbBase),
pointy.Float64(k.wantTbbQuote),
)
}
}
func TestVolumeFilterFn_QuoteCap_Exact(t *testing.T) {
// We want to test the following 4 valid combinations of OTB and TBB values:
// otb = 0
// tbb = 0
// otb = 0 && tbb = 0
// otb > 0 && tbb > 0
// We also want to test 3 combinations of cap relationship to projected (<, =, >)
// Finally, if projected > cap, we want to test 3 possible values of newAmount (+, 0, -)
// The above gives 4 * (2 + 1*3) = 20.
// One generated case is impossible in the code: otb = 0 && tbb = 0, newAmount < 0
// so we have 19 cases
testCases := []volumeFilterFnTestCase{
{
name: "1. otb = 0; projected < cap",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 2.49,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(2.49),
wantTbbBase: 2.49,
wantTbbQuote: 9.98,
},
{
name: "2. otb = 0; projected = cap",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 2.5,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(2.5),
wantTbbBase: 2.5,
wantTbbQuote: 10,
},
{
name: "3. otb = 0; projected > cap, newAmount > 0",
cap: 10.0,
otb: 0,
tbb: 5,
inputPrice: 2.0,
inputAmount: 5.01,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(2.5),
wantTbbBase: 2.5,
wantTbbQuote: 10,
},
{
name: "4. otb = 0; projected > cap, newAmount = 0",
cap: 10.0,
otb: 0,
tbb: 10,
inputPrice: 2.0,
inputAmount: 5.01,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 0,
wantTbbQuote: 10,
},
{
name: "5. otb = 0; projected > cap, newAmount < 0",
cap: 10.0,
otb: 0,
tbb: 11,
inputPrice: 2.0,
inputAmount: 5.01,
wantPrice: nil,
wantAmount: nil,
wantTbbBase: 0,
wantTbbQuote: 11,
},
{
name: "6. tbb = 0; projected < cap",
cap: 10.0,
otb: 5,
tbb: 0,
inputPrice: 2.0,
inputAmount: 2.49,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(2.49),
wantTbbBase: 2.49,
wantTbbQuote: 4.98,
},
{
name: "7. tbb = 0; projected = cap",
cap: 10.0,
otb: 5,
tbb: 0,
inputPrice: 2.0,
inputAmount: 2.5,
wantPrice: pointy.Float64(2.0),
wantAmount: pointy.Float64(2.5),
wantTbbBase: 2.5,
wantTbbQuote: 5,