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mirrorStrategy_test.go
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mirrorStrategy_test.go
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package plugins
import (
"testing"
"github.com/openlyinc/pointy"
"github.com/stretchr/testify/assert"
"github.com/stellar/kelp/model"
)
func TestTransformOrders(t *testing.T) {
testCases := []struct {
name string
inputPrice *model.Number
inputVolume *model.Number
orderAction model.OrderAction
priceMultiplier float64
volumeMultiplier float64
maybeMaxVolumeBaseCap *float64
wantPrice *model.Number
wantVolume *model.Number
}{
{
name: "buy below capped",
inputPrice: model.NumberFromFloat(0.15, 6),
inputVolume: model.NumberFromFloat(51.5, 5),
orderAction: model.OrderActionBuy,
priceMultiplier: 0.90,
volumeMultiplier: 0.25,
maybeMaxVolumeBaseCap: pointy.Float64(15.0),
wantPrice: model.NumberFromFloat(0.135, 6),
wantVolume: model.NumberFromFloat(12.875, 5),
}, {
name: "sell below capped",
inputPrice: model.NumberFromFloat(1.15, 6),
inputVolume: model.NumberFromFloat(1.5123, 5),
orderAction: model.OrderActionSell,
priceMultiplier: 0.90,
volumeMultiplier: 0.25,
maybeMaxVolumeBaseCap: pointy.Float64(15.0),
wantPrice: model.NumberFromFloat(1.035, 6),
wantVolume: model.NumberFromFloat(0.37808, 5), // round up
}, {
name: "buy above capped",
inputPrice: model.NumberFromFloat(0.15, 6),
inputVolume: model.NumberFromFloat(80.0, 5),
orderAction: model.OrderActionBuy,
priceMultiplier: 0.90,
volumeMultiplier: 0.25,
maybeMaxVolumeBaseCap: pointy.Float64(15.0),
wantPrice: model.NumberFromFloat(0.135, 6),
wantVolume: model.NumberFromFloat(15.0, 5),
}, {
name: "sell above capped",
inputPrice: model.NumberFromFloat(1.15, 6),
inputVolume: model.NumberFromFloat(151.23, 5),
orderAction: model.OrderActionSell,
priceMultiplier: 0.90,
volumeMultiplier: 0.25,
maybeMaxVolumeBaseCap: pointy.Float64(15.0),
wantPrice: model.NumberFromFloat(1.035, 6),
wantVolume: model.NumberFromFloat(15.0, 5),
}, {
name: "buy with 0 cap",
inputPrice: model.NumberFromFloat(0.15, 6),
inputVolume: model.NumberFromFloat(80.0, 5),
orderAction: model.OrderActionBuy,
priceMultiplier: 0.90,
volumeMultiplier: 0.25,
maybeMaxVolumeBaseCap: nil,
wantPrice: model.NumberFromFloat(0.135, 6),
wantVolume: model.NumberFromFloat(20.0, 5),
}, {
name: "sell with 0 cap",
inputPrice: model.NumberFromFloat(1.15, 6),
inputVolume: model.NumberFromFloat(151.23, 5),
orderAction: model.OrderActionSell,
priceMultiplier: 0.90,
volumeMultiplier: 0.25,
maybeMaxVolumeBaseCap: nil,
wantPrice: model.NumberFromFloat(1.035, 6),
wantVolume: model.NumberFromFloat(37.8075, 5),
},
}
for _, k := range testCases {
t.Run(k.name, func(t *testing.T) {
order := model.Order{
Pair: &model.TradingPair{Base: model.XLM, Quote: model.USDT},
OrderAction: k.orderAction,
OrderType: model.OrderTypeLimit,
Price: k.inputPrice,
Volume: k.inputVolume,
}
transformOrders([]model.Order{order}, k.priceMultiplier, k.volumeMultiplier, k.maybeMaxVolumeBaseCap)
assert.Equal(t, &model.TradingPair{Base: model.XLM, Quote: model.USDT}, order.Pair)
assert.Equal(t, k.orderAction, order.OrderAction)
assert.Equal(t, model.OrderTypeLimit, order.OrderType)
assert.Equal(t, k.wantPrice, order.Price)
assert.Equal(t, k.wantVolume, order.Volume)
})
}
}
func TestFilterOrdersByVolume(t *testing.T) {
type amtPrice struct {
a float64
p float64
}
testCases := []struct {
name string
inputOrderValues []amtPrice
minBaseVolume float64
wantOrderValues []amtPrice
}{
{
name: "keep first",
inputOrderValues: []amtPrice{
{a: 1.0, p: 1.0},
{a: 0.5, p: 1.1},
},
minBaseVolume: 1.0,
wantOrderValues: []amtPrice{
{a: 1.0, p: 1.0},
},
}, {
name: "keep second",
inputOrderValues: []amtPrice{
{a: 1.0, p: 1.0},
{a: 2.5, p: 1.1},
},
minBaseVolume: 1.000001,
wantOrderValues: []amtPrice{
{a: 2.5, p: 1.1},
},
}, {
name: "keep none",
inputOrderValues: []amtPrice{
{a: 1.0, p: 1.0},
{a: 2.5, p: 1.1},
},
minBaseVolume: 2.500001,
wantOrderValues: []amtPrice{},
}, {
name: "keep all",
inputOrderValues: []amtPrice{
{a: 1.0, p: 1.0},
{a: 2.5, p: 1.1},
{a: 3.5, p: 2.1},
},
minBaseVolume: 1.0,
wantOrderValues: []amtPrice{
{a: 1.0, p: 1.0},
{a: 2.5, p: 1.1},
{a: 3.5, p: 2.1},
},
},
}
for _, k := range testCases {
t.Run(k.name, func(t *testing.T) {
// convert input to Orders
inputOrders := []model.Order{}
for _, ap := range k.inputOrderValues {
inputOrders = append(inputOrders, model.Order{
Pair: &model.TradingPair{Base: model.XLM, Quote: model.USDT},
OrderAction: model.OrderActionSell,
OrderType: model.OrderTypeLimit,
Price: model.NumberFromFloat(ap.p, 5),
Volume: model.NumberFromFloat(ap.a, 5),
})
}
outputOrders := filterOrdersByVolume(inputOrders, k.minBaseVolume)
// convert output from Orders
output := []amtPrice{}
for _, o := range outputOrders {
output = append(output, amtPrice{
a: o.Volume.AsFloat(),
p: o.Price.AsFloat(),
})
}
assert.Equal(t, k.wantOrderValues, output)
})
}
}
func TestBalanceCoordinatorCheckBalance(t *testing.T) {
// imagine prices such that we are trading base asset as XLM and quote asset as USD
testCases := []struct {
name string
bc *balanceCoordinator
inputVol *model.Number
inputPrice *model.Number
wantHasBackingBalance bool
wantNewBaseVolume *model.Number
wantNewQuoteVolume *model.Number
wantPlacedPrimaryUnits *model.Number
wantPlacedBackingUnits *model.Number
}{
// buy/sell (base on primary) x primary has available/partial/empty x backing has available/partial/empty x starting is zero / non-zero
// 2 x 3 x 3 x 2 = 36 cases in total
{
name: "1. sell primary-available backing-available zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1005.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(101.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(1.0, 5),
inputPrice: model.NumberFromFloat(0.112, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(1.0, 5),
wantNewQuoteVolume: model.NumberFromFloat(0.112, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(1.0, 5),
wantPlacedBackingUnits: model.NumberFromFloat(0.112, 5),
}, {
name: "2. sell primary-available backing-available non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1005.12, 6),
placedPrimaryUnits: model.NumberFromFloat(100.56, 6),
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(101.0, 5),
placedBackingUnits: model.NumberFromFloat(8.457, 5),
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(3.14, 5),
inputPrice: model.NumberFromFloat(0.131, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(3.13999, 5),
wantNewQuoteVolume: model.NumberFromFloat(0.41133, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(103.69999, 5),
wantPlacedBackingUnits: model.NumberFromFloat(8.86833, 5),
}, {
name: "3. sell primary-available backing-partial zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1005.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(0.1, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(1.0, 5),
inputPrice: model.NumberFromFloat(0.112, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(0.89285, 5),
wantNewQuoteVolume: model.NumberFromFloat(0.09999, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(0.89285, 5),
wantPlacedBackingUnits: model.NumberFromFloat(0.09999, 5),
}, {
name: "4. sell primary-available backing-partial non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1005.12, 6),
placedPrimaryUnits: model.NumberFromFloat(5.12, 6),
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(0.1, 5),
placedBackingUnits: model.NumberFromFloat(0.02, 5),
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(1.0, 5),
inputPrice: model.NumberFromFloat(0.112, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(0.71428, 5),
wantNewQuoteVolume: model.NumberFromFloat(0.07999, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(5.83428, 5),
wantPlacedBackingUnits: model.NumberFromFloat(0.09999, 5),
}, {
name: "5. sell primary-available backing-empty zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1005.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(0.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(1.0, 5),
inputPrice: model.NumberFromFloat(0.112, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberConstants.Zero,
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "6. sell primary-available backing-empty non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1005.12, 6),
placedPrimaryUnits: model.NumberFromFloat(4.82, 6),
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(5042.487, 5),
placedBackingUnits: model.NumberFromFloat(5042.487, 5),
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(1.0, 5),
inputPrice: model.NumberFromFloat(0.112, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberFromFloat(4.82, 6),
wantPlacedBackingUnits: model.NumberFromFloat(5042.487, 5),
}, {
name: "7. sell primary-partial backing-available zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(505.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(150.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(506.0, 5),
inputPrice: model.NumberFromFloat(0.212, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(505.12, 5),
wantNewQuoteVolume: model.NumberFromFloat(107.08544, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(505.12, 5),
wantPlacedBackingUnits: model.NumberFromFloat(107.08544, 5),
}, {
name: "8. sell primary-partial backing-available non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(505.12, 6),
placedPrimaryUnits: model.NumberFromFloat(105.12, 6),
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(150.0, 5),
placedBackingUnits: model.NumberFromFloat(10.1, 5),
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(506.0, 5),
inputPrice: model.NumberFromFloat(0.212, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(400.0, 5),
wantNewQuoteVolume: model.NumberFromFloat(84.8, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(505.12, 5),
wantPlacedBackingUnits: model.NumberFromFloat(94.9, 5),
}, {
name: "9. sell primary-partial backing-partial zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1005.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(101.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(2000.57, 5),
inputPrice: model.NumberFromFloat(0.21, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(480.95238, 5),
wantNewQuoteVolume: model.NumberFromFloat(100.99999, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(480.95238, 5),
wantPlacedBackingUnits: model.NumberFromFloat(100.99999, 5),
}, {
name: "10. sell primary-partial backing-partial non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1005.12, 6),
placedPrimaryUnits: model.NumberFromFloat(200.56, 6),
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(101.0, 5),
placedBackingUnits: model.NumberFromFloat(51.3245, 5),
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(2000.57, 5),
inputPrice: model.NumberFromFloat(0.21, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(236.55, 5),
wantNewQuoteVolume: model.NumberFromFloat(49.6755, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(437.11, 5),
wantPlacedBackingUnits: model.NumberFromFloat(101.0, 5),
}, {
name: "11. sell primary-partial backing-empty zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1005.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(0.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(2000.57, 5),
inputPrice: model.NumberFromFloat(0.21, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberConstants.Zero,
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "12. sell primary-partial backing-empty non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1005.12, 6),
placedPrimaryUnits: model.NumberFromFloat(1.56, 6),
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(200.56, 5),
placedBackingUnits: model.NumberFromFloat(200.56, 6),
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(2000.57, 5),
inputPrice: model.NumberFromFloat(0.21, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberFromFloat(1.56, 6),
wantPlacedBackingUnits: model.NumberFromFloat(200.56, 6),
}, {
name: "13. sell primary-empty backing-available zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(0.0, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(200.56, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(45.157, 5),
inputPrice: model.NumberFromFloat(0.45, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberConstants.Zero,
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "14. sell primary-empty backing-available non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1.23, 6),
placedPrimaryUnits: model.NumberFromFloat(1.23, 6),
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(200.56, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(45.157, 5),
inputPrice: model.NumberFromFloat(0.45, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberFromFloat(1.23, 6),
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "15. sell primary-empty backing-partial zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(0.0, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(200.56, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(45.157, 5),
inputPrice: model.NumberFromFloat(0.45, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberConstants.Zero,
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "16. sell primary-empty backing-partial non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1.23, 6),
placedPrimaryUnits: model.NumberFromFloat(1.23, 6),
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(200.56, 5),
placedBackingUnits: model.NumberFromFloat(14.03, 5),
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(4.157, 5),
inputPrice: model.NumberFromFloat(0.125, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberFromFloat(1.23, 6),
wantPlacedBackingUnits: model.NumberFromFloat(14.03, 5),
}, {
name: "17. sell primary-empty backing-empty zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberConstants.Zero,
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(0.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(4.157, 5),
inputPrice: model.NumberFromFloat(0.125, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberConstants.Zero,
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "18. sell primary-empty backing-empty non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1.23, 6),
placedPrimaryUnits: model.NumberFromFloat(1.23, 6),
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(200.56, 5),
placedBackingUnits: model.NumberFromFloat(200.56, 5),
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(4.157, 5),
inputPrice: model.NumberFromFloat(0.125, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberFromFloat(1.23, 6),
wantPlacedBackingUnits: model.NumberFromFloat(200.56, 5),
}, {
name: "19. buy primary-available backing-available zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(1001.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(1.0, 5),
inputPrice: model.NumberFromFloat(0.112, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(1.0, 5),
wantNewQuoteVolume: model.NumberFromFloat(0.112, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(0.112, 5),
wantPlacedBackingUnits: model.NumberFromFloat(1.0, 5),
}, {
name: "20. buy primary-available backing-available non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberFromFloat(5.4, 6),
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(1001.0, 5),
placedBackingUnits: model.NumberFromFloat(3.12, 6),
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(1.0, 5),
inputPrice: model.NumberFromFloat(0.112, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(1.0, 5),
wantNewQuoteVolume: model.NumberFromFloat(0.112, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(5.512, 5),
wantPlacedBackingUnits: model.NumberFromFloat(4.12, 5),
}, {
name: "21. buy primary-available backing-partial zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(51.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(51.00001, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(51.0, 5),
wantNewQuoteVolume: model.NumberFromFloat(12.75, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(12.75, 5),
wantPlacedBackingUnits: model.NumberFromFloat(51.0, 5),
}, {
name: "22. buy primary-available backing-partial non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberFromFloat(57.4, 6),
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(51.0, 5),
placedBackingUnits: model.NumberFromFloat(5.45, 5),
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(46.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(45.55, 5),
wantNewQuoteVolume: model.NumberFromFloat(11.3875, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(68.7875, 5),
wantPlacedBackingUnits: model.NumberFromFloat(51.0, 5),
}, {
name: "23. buy primary-available backing-empty zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(0.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(51.00001, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberConstants.Zero,
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "24. buy primary-available backing-empty non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberFromFloat(15.32, 6),
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(0.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(51.00001, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberFromFloat(15.32, 6),
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "25. buy primary-partial backing-available zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(500.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(421.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(420.48, 5),
wantNewQuoteVolume: model.NumberFromFloat(105.12, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(105.12, 5),
wantPlacedBackingUnits: model.NumberFromFloat(420.48, 5),
}, {
name: "26. buy primary-partial backing-available non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberFromFloat(0.1, 6),
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(500.0, 5),
placedBackingUnits: model.NumberFromFloat(0.1, 5),
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(421.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(420.08, 5),
wantNewQuoteVolume: model.NumberFromFloat(105.02, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(105.12, 5),
wantPlacedBackingUnits: model.NumberFromFloat(420.18, 5),
}, {
name: "27. buy primary-partial backing-partial zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(500.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(501.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(420.48, 5),
wantNewQuoteVolume: model.NumberFromFloat(105.12, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(105.12, 5),
wantPlacedBackingUnits: model.NumberFromFloat(420.48, 5),
}, {
name: "28. buy primary-partial backing-partial non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberFromFloat(0.1, 6),
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(500.0, 5),
placedBackingUnits: model.NumberFromFloat(0.1, 5),
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(501.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(420.08, 5),
wantNewQuoteVolume: model.NumberFromFloat(105.02, 5),
wantPlacedPrimaryUnits: model.NumberFromFloat(105.12, 5),
wantPlacedBackingUnits: model.NumberFromFloat(420.18, 5),
}, {
name: "29. buy primary-partial backing-empty zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(0.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(501.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberConstants.Zero,
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "30. buy primary-partial backing-empty non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(105.12, 6),
placedPrimaryUnits: model.NumberFromFloat(0.1, 6),
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(0.1, 5),
placedBackingUnits: model.NumberFromFloat(0.1, 5),
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(601.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberFromFloat(0.1, 6),
wantPlacedBackingUnits: model.NumberFromFloat(0.1, 5),
}, {
name: "31. buy primary-empty backing-available zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberConstants.Zero,
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(10.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(1.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberConstants.Zero,
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "32. buy primary-empty backing-available non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(10.0, 5),
placedPrimaryUnits: model.NumberFromFloat(10.0, 5),
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(10.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(1.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberFromFloat(10.0, 5),
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "33. buy primary-empty backing-partial zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(0.0, 5),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(0.1, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(15.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberConstants.Zero,
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "34. buy primary-empty backing-partial non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(4.2, 5),
placedPrimaryUnits: model.NumberFromFloat(4.2, 5),
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(1000.1, 5),
placedBackingUnits: model.NumberFromFloat(0.1, 5),
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(15.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberFromFloat(4.2, 5),
wantPlacedBackingUnits: model.NumberFromFloat(0.1, 5),
}, {
name: "35. buy primary-empty backing-empty zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(0.0, 5),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(0.0, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(15.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberConstants.Zero,
wantPlacedBackingUnits: model.NumberConstants.Zero,
}, {
name: "36. buy primary-empty backing-empty non-zero",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(100.0, 5),
placedPrimaryUnits: model.NumberFromFloat(100.0, 5),
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(100.45, 5),
placedBackingUnits: model.NumberFromFloat(100.45, 5),
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(15.0, 5),
inputPrice: model.NumberFromFloat(0.25, 5),
wantHasBackingBalance: false,
wantNewBaseVolume: nil,
wantNewQuoteVolume: nil,
wantPlacedPrimaryUnits: model.NumberFromFloat(100.0, 5),
wantPlacedBackingUnits: model.NumberFromFloat(100.45, 5),
},
// these are the tests spawned from https://github.com/stellar/kelp/issues/541
{
name: "rounding - buy base on primary - truncate rounding",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(646.1, 7),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "quote",
isPrimaryBuy: true,
backingBalance: model.NumberFromFloat(1.9, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "base",
},
inputVol: model.NumberFromFloat(2.0, 2), // intentionally use a less precise volume
inputPrice: model.NumberFromFloat(368.0, 8), // intentionally use a precision of price more than volume
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(1.75, 2), // don't modify precision volume nunmbers
wantNewQuoteVolume: model.NumberFromFloat(644.0, 2), // don't modify precision volume nunmbers
wantPlacedPrimaryUnits: model.NumberFromFloat(644.0, 2),
wantPlacedBackingUnits: model.NumberFromFloat(1.75, 2),
}, {
name: "rounding - sell base on primary - truncate rounding",
bc: &balanceCoordinator{
primaryBalance: model.NumberFromFloat(1.9, 7),
placedPrimaryUnits: model.NumberConstants.Zero,
primaryAssetType: "base",
isPrimaryBuy: false,
backingBalance: model.NumberFromFloat(646.1, 5),
placedBackingUnits: model.NumberConstants.Zero,
backingAssetType: "quote",
},
inputVol: model.NumberFromFloat(2.0, 2), // intentionally use a less precise volume
inputPrice: model.NumberFromFloat(368.0, 8), // intentionally use a precision of price more than volume
wantHasBackingBalance: true,
wantNewBaseVolume: model.NumberFromFloat(1.75, 2), // don't modify precision volume nunmbers
wantNewQuoteVolume: model.NumberFromFloat(644.0, 2), // don't modify precision volume nunmbers
wantPlacedPrimaryUnits: model.NumberFromFloat(1.75, 2),
wantPlacedBackingUnits: model.NumberFromFloat(644.0, 2),
},
}
for _, k := range testCases {
t.Run(k.name, func(t *testing.T) {
hasBackingBalance, newBaseVolume, newQuoteVolume := k.bc.checkBalance(k.inputVol, k.inputPrice)
assert.Equal(t, k.wantHasBackingBalance, hasBackingBalance)
assert.Equal(t, k.wantNewBaseVolume, newBaseVolume)
assert.Equal(t, k.wantNewQuoteVolume, newQuoteVolume)
assert.Equal(t, k.wantPlacedPrimaryUnits.AsString(), k.bc.getPlacedPrimaryUnits().AsString())
assert.Equal(t, k.wantPlacedBackingUnits.AsString(), k.bc.getPlacedBackingUnits().AsString())
})
}
}