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depth_test.go
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depth_test.go
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package orderbook
import (
"errors"
"reflect"
"strings"
"testing"
"time"
"github.com/gofrs/uuid"
"github.com/thrasher-corp/gocryptotrader/currency"
"github.com/thrasher-corp/gocryptotrader/exchanges/asset"
)
var id = uuid.Must(uuid.NewV4())
func TestGetLength(t *testing.T) {
t.Parallel()
d := NewDepth(id)
err := d.Invalidate(nil)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
_, err = d.GetAskLength()
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
d.LoadSnapshot([]Item{{Price: 1337}}, nil, 0, time.Time{}, true)
askLen, err := d.GetAskLength()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if askLen != 0 {
t.Errorf("expected len %v, but received %v", 0, askLen)
}
d.asks.load([]Item{{Price: 1337}}, d.stack)
askLen, err = d.GetAskLength()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if askLen != 1 {
t.Errorf("expected len %v, but received %v", 1, askLen)
}
d = NewDepth(id)
err = d.Invalidate(nil)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
_, err = d.GetBidLength()
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
d.LoadSnapshot(nil, []Item{{Price: 1337}}, 0, time.Time{}, true)
bidLen, err := d.GetBidLength()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if bidLen != 0 {
t.Errorf("expected len %v, but received %v", 0, bidLen)
}
d.bids.load([]Item{{Price: 1337}}, d.stack)
bidLen, err = d.GetBidLength()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if bidLen != 1 {
t.Errorf("expected len %v, but received %v", 1, bidLen)
}
}
func TestRetrieve(t *testing.T) {
t.Parallel()
d := NewDepth(id)
d.asks.load([]Item{{Price: 1337}}, d.stack)
d.bids.load([]Item{{Price: 1337}}, d.stack)
d.options = options{
exchange: "THE BIG ONE!!!!!!",
pair: currency.NewPair(currency.THETA, currency.USD),
asset: asset.DownsideProfitContract,
lastUpdated: time.Now(),
lastUpdateID: 1337,
priceDuplication: true,
isFundingRate: true,
VerifyOrderbook: true,
restSnapshot: true,
idAligned: true,
}
// If we add anymore options to the options struct later this will complain
// generally want to return a full carbon copy
mirrored := reflect.Indirect(reflect.ValueOf(d.options))
for n := 0; n < mirrored.NumField(); n++ {
structVal := mirrored.Field(n)
if structVal.IsZero() {
t.Fatalf("struct value options not set for field %v",
mirrored.Type().Field(n).Name)
}
}
ob, err := d.Retrieve()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if len(ob.Asks) != 1 {
t.Errorf("expected len %v, but received %v", 1, len(ob.Bids))
}
if len(ob.Bids) != 1 {
t.Errorf("expected len %v, but received %v", 1, len(ob.Bids))
}
}
func TestTotalAmounts(t *testing.T) {
t.Parallel()
d := NewDepth(id)
err := d.Invalidate(nil)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
_, _, err = d.TotalBidAmounts()
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
d.validationError = nil
liquidity, value, err := d.TotalBidAmounts()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if liquidity != 0 || value != 0 {
t.Fatalf("liquidity expected %f received %f value expected %f received %f",
0.,
liquidity,
0.,
value)
}
err = d.Invalidate(nil)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
_, _, err = d.TotalAskAmounts()
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
d.validationError = nil
liquidity, value, err = d.TotalAskAmounts()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if liquidity != 0 || value != 0 {
t.Fatalf("liquidity expected %f received %f value expected %f received %f",
0.,
liquidity,
0.,
value)
}
d.asks.load([]Item{{Price: 1337, Amount: 1}}, d.stack)
d.bids.load([]Item{{Price: 1337, Amount: 10}}, d.stack)
liquidity, value, err = d.TotalBidAmounts()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if liquidity != 10 || value != 13370 {
t.Fatalf("liquidity expected %f received %f value expected %f received %f",
10.,
liquidity,
13370.,
value)
}
liquidity, value, err = d.TotalAskAmounts()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if liquidity != 1 || value != 1337 {
t.Fatalf("liquidity expected %f received %f value expected %f received %f",
1.,
liquidity,
1337.,
value)
}
}
func TestLoadSnapshot(t *testing.T) {
t.Parallel()
d := NewDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}}, 0, time.Time{}, false)
ob, err := d.Retrieve()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if ob.Asks[0].Price != 1337 || ob.Bids[0].Price != 1337 {
t.Fatalf("not set")
}
}
func TestInvalidate(t *testing.T) {
t.Parallel()
d := NewDepth(id)
d.exchange = "testexchange"
d.pair = currency.NewPair(currency.BTC, currency.WABI)
d.asset = asset.Spot
d.LoadSnapshot(Items{{Price: 1337, Amount: 1}}, Items{{Price: 1337, Amount: 10}}, 0, time.Time{}, false)
ob, err := d.Retrieve()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if ob == nil {
t.Fatalf("unexpected value")
}
err = d.Invalidate(errors.New("random reason"))
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
_, err = d.Retrieve()
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
if err.Error() != "testexchange BTCWABI spot orderbook data integrity compromised Reason: [random reason]" {
t.Fatal("unexpected string return")
}
d.validationError = nil
ob, err = d.Retrieve()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if len(ob.Asks) != 0 || len(ob.Bids) != 0 {
t.Fatalf("not flushed")
}
}
func TestUpdateBidAskByPrice(t *testing.T) {
t.Parallel()
d := NewDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
// empty
d.UpdateBidAskByPrice(&Update{})
updates := &Update{
Bids: Items{{Price: 1337, Amount: 2, ID: 1}},
Asks: Items{{Price: 1337, Amount: 2, ID: 2}},
UpdateID: 1,
}
d.UpdateBidAskByPrice(updates)
ob, err := d.Retrieve()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if ob.Asks[0].Amount != 2 || ob.Bids[0].Amount != 2 {
t.Fatalf("orderbook amounts not updated correctly")
}
updates = &Update{
Bids: Items{{Price: 1337, Amount: 0, ID: 1}},
Asks: Items{{Price: 1337, Amount: 0, ID: 2}},
UpdateID: 2,
}
d.UpdateBidAskByPrice(updates)
askLen, err := d.GetAskLength()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
bidLen, err := d.GetBidLength()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if askLen != 0 || bidLen != 0 {
t.Fatalf("orderbook amounts not updated correctly")
}
}
func TestDeleteBidAskByID(t *testing.T) {
t.Parallel()
d := NewDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
updates := &Update{
Bids: Items{{Price: 1337, Amount: 2, ID: 1}},
Asks: Items{{Price: 1337, Amount: 2, ID: 2}},
}
err := d.DeleteBidAskByID(updates, false)
if err != nil {
t.Fatal(err)
}
ob, err := d.Retrieve()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if len(ob.Asks) != 0 || len(ob.Bids) != 0 {
t.Fatalf("items not deleted")
}
updates = &Update{
Bids: Items{{Price: 1337, Amount: 2, ID: 1}},
}
err = d.DeleteBidAskByID(updates, false)
if !strings.Contains(err.Error(), errIDCannotBeMatched.Error()) {
t.Fatalf("error expected %v received %v", errIDCannotBeMatched, err)
}
updates = &Update{
Asks: Items{{Price: 1337, Amount: 2, ID: 2}},
}
err = d.DeleteBidAskByID(updates, false)
if !strings.Contains(err.Error(), errIDCannotBeMatched.Error()) {
t.Fatalf("error expected %v received %v", errIDCannotBeMatched, err)
}
updates = &Update{
Asks: Items{{Price: 1337, Amount: 2, ID: 2}},
}
err = d.DeleteBidAskByID(updates, true)
if !errors.Is(err, nil) {
t.Fatalf("error expected %v received %v", nil, err)
}
}
func TestUpdateBidAskByID(t *testing.T) {
t.Parallel()
d := NewDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
updates := &Update{
Bids: Items{{Price: 1337, Amount: 2, ID: 1}},
Asks: Items{{Price: 1337, Amount: 2, ID: 2}},
}
err := d.UpdateBidAskByID(updates)
if err != nil {
t.Fatal(err)
}
ob, err := d.Retrieve()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if ob.Asks[0].Amount != 2 || ob.Bids[0].Amount != 2 {
t.Fatalf("orderbook amounts not updated correctly")
}
updates = &Update{
Bids: Items{{Price: 1337, Amount: 2, ID: 666}},
}
// random unmatching IDs
err = d.UpdateBidAskByID(updates)
if !strings.Contains(err.Error(), errIDCannotBeMatched.Error()) {
t.Fatalf("error expected %v received %v", errIDCannotBeMatched, err)
}
updates = &Update{
Asks: Items{{Price: 1337, Amount: 2, ID: 69}},
}
err = d.UpdateBidAskByID(updates)
if !strings.Contains(err.Error(), errIDCannotBeMatched.Error()) {
t.Fatalf("error expected %v received %v", errIDCannotBeMatched, err)
}
}
func TestInsertBidAskByID(t *testing.T) {
t.Parallel()
d := NewDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
updates := &Update{
Asks: Items{{Price: 1337, Amount: 2, ID: 3}},
}
err := d.InsertBidAskByID(updates)
if !strings.Contains(err.Error(), errCollisionDetected.Error()) {
t.Fatalf("received: '%v' but expected: '%v'", err, errCollisionDetected)
}
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
updates = &Update{
Bids: Items{{Price: 1337, Amount: 2, ID: 3}},
}
err = d.InsertBidAskByID(updates)
if !strings.Contains(err.Error(), errCollisionDetected.Error()) {
t.Fatalf("received: '%v' but expected: '%v'", err, errCollisionDetected)
}
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
updates = &Update{
Bids: Items{{Price: 1338, Amount: 2, ID: 3}},
Asks: Items{{Price: 1336, Amount: 2, ID: 4}},
}
err = d.InsertBidAskByID(updates)
if err != nil {
t.Fatal(err)
}
ob, err := d.Retrieve()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if len(ob.Asks) != 2 || len(ob.Bids) != 2 {
t.Fatalf("items not added correctly")
}
}
func TestUpdateInsertByID(t *testing.T) {
t.Parallel()
d := NewDepth(id)
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
updates := &Update{
Bids: Items{{Price: 1338, Amount: 0, ID: 3}},
Asks: Items{{Price: 1336, Amount: 2, ID: 4}},
}
err := d.UpdateInsertByID(updates)
if !strings.Contains(err.Error(), errAmountCannotBeLessOrEqualToZero.Error()) {
t.Fatalf("expected: %v but received: %v", errAmountCannotBeLessOrEqualToZero, err)
}
// Above will invalidate the book
_, err = d.Retrieve()
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
updates = &Update{
Bids: Items{{Price: 1338, Amount: 2, ID: 3}},
Asks: Items{{Price: 1336, Amount: 0, ID: 4}},
}
err = d.UpdateInsertByID(updates)
if !strings.Contains(err.Error(), errAmountCannotBeLessOrEqualToZero.Error()) {
t.Fatalf("expected: %v but received: %v", errAmountCannotBeLessOrEqualToZero, err)
}
// Above will invalidate the book
_, err = d.Retrieve()
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
d.LoadSnapshot(Items{{Price: 1337, Amount: 1, ID: 1}}, Items{{Price: 1337, Amount: 10, ID: 2}}, 0, time.Time{}, false)
updates = &Update{
Bids: Items{{Price: 1338, Amount: 2, ID: 3}},
Asks: Items{{Price: 1336, Amount: 2, ID: 4}},
}
err = d.UpdateInsertByID(updates)
if err != nil {
t.Fatal(err)
}
ob, err := d.Retrieve()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if len(ob.Asks) != 2 || len(ob.Bids) != 2 {
t.Fatalf("items not added correctly")
}
}
func TestAssignOptions(t *testing.T) {
t.Parallel()
d := Depth{}
cp := currency.NewPair(currency.LINK, currency.BTC)
tn := time.Now()
d.AssignOptions(&Base{
Exchange: "test",
Pair: cp,
Asset: asset.Spot,
LastUpdated: tn,
LastUpdateID: 1337,
PriceDuplication: true,
IsFundingRate: true,
VerifyOrderbook: true,
RestSnapshot: true,
IDAlignment: true,
})
if d.exchange != "test" ||
d.pair != cp ||
d.asset != asset.Spot ||
d.lastUpdated != tn ||
d.lastUpdateID != 1337 ||
!d.priceDuplication ||
!d.isFundingRate ||
!d.VerifyOrderbook ||
!d.restSnapshot ||
!d.idAligned {
t.Fatalf("failed to set correctly")
}
}
func TestGetName(t *testing.T) {
t.Parallel()
d := Depth{}
d.exchange = "test"
if d.GetName() != "test" {
t.Fatalf("failed to get correct value")
}
}
func TestIsRestSnapshot(t *testing.T) {
t.Parallel()
d := Depth{}
d.restSnapshot = true
err := d.Invalidate(nil)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
_, err = d.IsRESTSnapshot()
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
d.validationError = nil
b, err := d.IsRESTSnapshot()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if !b {
t.Fatalf("received: '%v' but expected: '%v'", b, true)
}
}
func TestLastUpdateID(t *testing.T) {
t.Parallel()
d := Depth{}
err := d.Invalidate(nil)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
_, err = d.LastUpdateID()
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
d.validationError = nil
d.lastUpdateID = 1337
id, err := d.LastUpdateID()
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if id != 1337 {
t.Fatalf("received: '%v' but expected: '%v'", id, 1337)
}
}
func TestIsFundingRate(t *testing.T) {
t.Parallel()
d := Depth{}
d.isFundingRate = true
if !d.IsFundingRate() {
t.Fatalf("failed to get correct value")
}
}
func TestPublish(t *testing.T) {
t.Parallel()
d := Depth{}
if err := d.Invalidate(nil); !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
d.Publish()
d.validationError = nil
d.Publish()
}
func TestIsValid(t *testing.T) {
t.Parallel()
d := Depth{}
if !d.IsValid() {
t.Fatalf("received: '%v' but expected: '%v'", d.IsValid(), true)
}
if err := d.Invalidate(nil); !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
if d.IsValid() {
t.Fatalf("received: '%v' but expected: '%v'", d.IsValid(), false)
}
}
func TestHitTheBidsByNominalSlippage(t *testing.T) {
t.Parallel()
_, err := getInvalidDepth().HitTheBidsByNominalSlippage(10, 1355.5)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
depth := NewDepth(id)
_, err = depth.HitTheBidsByNominalSlippage(10, 1355.5)
if !errors.Is(err, errNoLiquidity) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity)
}
depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
// First tranche
amt, err := depth.HitTheBidsByNominalSlippage(0, 1336)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 1 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 2)
}
if amt.NominalPercentage != 0 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 0)
}
if amt.StartPrice != 1336 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 1336)
}
if amt.EndPrice != 1336 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 1336)
}
if amt.FullBookSideConsumed {
t.Fatalf("received: '%+v' but expected: '%v'", amt.FullBookSideConsumed, false)
}
// First and second price
amt, err = depth.HitTheBidsByNominalSlippage(0.037425149700598806, 1336)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 2 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 2)
}
if amt.NominalPercentage != 0.037425149700598806 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 0.037425149700598806)
}
if amt.StartPrice != 1336 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 1336)
}
if amt.EndPrice != 1335 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 1335)
}
if amt.FullBookSideConsumed {
t.Fatalf("received: '%+v' but expected: '%v'", amt.FullBookSideConsumed, false)
}
// First and half of second tranche
amt, err = depth.HitTheBidsByNominalSlippage(0.02495009980039353, 1336)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 1.4999999999998295 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 1.4999999999998295)
}
if amt.NominalPercentage != 0.02495009980039353 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 0.02495009980039353)
}
if amt.StartPrice != 1336 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 1336)
}
if amt.EndPrice != 1335 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 1335)
}
if amt.FullBookSideConsumed {
t.Fatalf("received: '%+v' but expected: '%v'", amt.FullBookSideConsumed, false)
}
// All the way up to the last price
amt, err = depth.HitTheBidsByNominalSlippage(0.7110778443113772, 1336)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
// This exceeds the entire total base available - should be 20.
if amt.Sold != 20 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 20.00721336370539)
}
if amt.NominalPercentage != 0.7110778443113772 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 0.7110778443113772)
}
if amt.StartPrice != 1336 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 1336)
}
if amt.EndPrice != 1317 {
t.Fatalf("received: '%+v' but expected: '%v'", amt, 1317)
}
if !amt.FullBookSideConsumed {
t.Fatalf("received: '%+v' but expected: '%v'", amt.FullBookSideConsumed, true)
}
}
func TestHitTheBidsByNominalSlippageFromMid(t *testing.T) {
t.Parallel()
_, err := getInvalidDepth().HitTheBidsByNominalSlippageFromMid(10)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
depth := NewDepth(id)
_, err = depth.HitTheBidsByNominalSlippageFromMid(10)
if !errors.Is(err, errNoLiquidity) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity)
}
depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
// First price from mid point
amt, err := depth.HitTheBidsByNominalSlippageFromMid(0.03741114852226)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 1 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 1)
}
// All the way up to the last price from mid price
amt, err = depth.HitTheBidsByNominalSlippageFromMid(0.74822297044519)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
// This exceeds the entire total base available
if amt.Sold != 20 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 20)
}
}
func TestHitTheBidsByNominalSlippageFromBest(t *testing.T) {
t.Parallel()
_, err := getInvalidDepth().HitTheBidsByNominalSlippageFromBest(10)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
depth := NewDepth(id)
_, err = depth.HitTheBidsByNominalSlippageFromBest(10)
if !errors.Is(err, errNoLiquidity) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity)
}
depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
// First and second price from best bid
amt, err := depth.HitTheBidsByNominalSlippageFromBest(0.037425149700599)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 2 {
t.Fatalf("received: '%+v' but expected: '%+v'", amt, 2)
}
// All the way up to the last price from best bid price
amt, err = depth.HitTheBidsByNominalSlippageFromBest(0.71107784431138)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
// This exceeds the entire total base available
if amt.Sold != 20 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 20)
}
}
func TestLiftTheAsksByNominalSlippage(t *testing.T) {
t.Parallel()
_, err := getInvalidDepth().LiftTheAsksByNominalSlippage(10, 1355.5)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
depth := NewDepth(id)
_, err = depth.LiftTheAsksByNominalSlippage(10, 1355.5)
if !errors.Is(err, errNoLiquidity) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity)
}
depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
// First and second price
amt, err := depth.LiftTheAsksByNominalSlippage(0.037397157816006, 1337)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 2675 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 2675)
}
// All the way up to the last price
amt, err = depth.LiftTheAsksByNominalSlippage(0.71054599850411, 1337)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 26930 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 26930)
}
}
func TestLiftTheAsksByNominalSlippageFromMid(t *testing.T) {
t.Parallel()
_, err := getInvalidDepth().LiftTheAsksByNominalSlippageFromMid(10)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
depth := NewDepth(id)
_, err = depth.LiftTheAsksByNominalSlippageFromMid(10)
if !errors.Is(err, errNoLiquidity) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity)
}
depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
// First price from mid point
amt, err := depth.LiftTheAsksByNominalSlippageFromMid(0.074822297044519)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 2675 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 2675)
}
// All the way up to the last price from mid price
amt, err = depth.LiftTheAsksByNominalSlippageFromMid(0.74822297044519)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
// This does not match the entire total quote available
if amt.Sold != 26930 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 26930)
}
}
func TestLiftTheAsksByNominalSlippageFromBest(t *testing.T) {
t.Parallel()
_, err := getInvalidDepth().LiftTheAsksByNominalSlippageFromBest(10)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
depth := NewDepth(id)
_, err = depth.LiftTheAsksByNominalSlippageFromBest(10)
if !errors.Is(err, errNoLiquidity) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity)
}
depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
// First and second price from best bid
amt, err := depth.LiftTheAsksByNominalSlippageFromBest(0.037397157816006)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 2675 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 2675)
}
// All the way up to the last price from best bid price
amt, err = depth.LiftTheAsksByNominalSlippageFromBest(0.71054599850411)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
// This does not match the entire total quote available
if amt.Sold != 26930 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 26930)
}
}
func TestHitTheBidsByImpactSlippage(t *testing.T) {
t.Parallel()
_, err := getInvalidDepth().HitTheBidsByImpactSlippage(0.7485029940119761, 1336)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
depth := NewDepth(id)
depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
// First and second price from best bid - price level target 1326 (which should be kept)
amt, err := depth.HitTheBidsByImpactSlippage(0.7485029940119761, 1336)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 10 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 10)
}
// All the way up to the last price from best bid price
amt, err = depth.HitTheBidsByImpactSlippage(1.4221556886227544, 1336)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
// This does not match the entire total quote available - should be 26930.
if amt.Sold != 19 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 19)
}
}
func TestHitTheBidsByImpactSlippageFromMid(t *testing.T) {
t.Parallel()
_, err := getInvalidDepth().HitTheBidsByImpactSlippageFromMid(10)
if !errors.Is(err, ErrOrderbookInvalid) {
t.Fatalf("received: '%v' but expected: '%v'", err, ErrOrderbookInvalid)
}
depth := NewDepth(id)
_, err = depth.HitTheBidsByImpactSlippageFromMid(10)
if !errors.Is(err, errNoLiquidity) {
t.Fatalf("received: '%v' but expected: '%v'", err, errNoLiquidity)
}
depth.LoadSnapshot(bid, ask, 0, time.Time{}, true)
// First and second price from mid - price level target 1326 (which should be kept)
amt, err := depth.HitTheBidsByImpactSlippageFromMid(0.7485029940119761)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 10 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 10)
}
// All the way up to the last price from best bid price
amt, err = depth.HitTheBidsByImpactSlippageFromMid(1.4221556886227544)
if !errors.Is(err, nil) {
t.Fatalf("received: '%v' but expected: '%v'", err, nil)
}
if amt.Sold != 19 {
t.Fatalf("received: '%v' but expected: '%v'", amt, 19)
}
}