def test_show_ticker(self, notify_mock):
self.client_config_map.db_mode = DBSqliteMode()
captures = []
notify_mock.side_effect = lambda s: captures.append(s)
exchange_name = "paper"
exchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.app.markets[exchange_name] = exchange
trading_pair = "BTC-USDT"
exchange.set_balanced_order_book(
trading_pair,
mid_price=10,
min_price=8.5,
max_price=11.5,
price_step_size=1,
volume_step_size=1,
)
self.async_run_with_timeout(
self.app.show_ticker(exchange=exchange_name, live=False))
self.assertEqual(1, len(captures))
df_str_expected = (
" Market: mock_paper_exchange"
"\n+------------+------------+-------------+--------------+"
"\n| Best Bid | Best Ask | Mid Price | Last Trade |"
"\n|------------+------------+-------------+--------------|"
"\n| 9.5 | 10.5 | 10 | nan |"
"\n+------------+------------+-------------+--------------+")
self.assertEqual(df_str_expected, captures[0])
def emit_order_created_event(market: MockPaperExchange, order: LimitOrder):
event_cls = BuyOrderCreatedEvent if order.is_buy else SellOrderCreatedEvent
event_tag = MarketEvent.BuyOrderCreated if order.is_buy else MarketEvent.SellOrderCreated
market.trigger_event(
event_tag,
message=event_cls(order.creation_timestamp, OrderType.LIMIT,
order.trading_pair, order.quantity, order.price,
order.client_order_id,
order.creation_timestamp * 1e-6))
def setUp(self) -> None:
super().setUp()
self.base_asset = "COINALPHA"
self.quote_asset = "HBOT"
self.trading_pair = f"{self.base_asset}-{self.quote_asset}"
trade_fee_schema = TradeFeeSchema(
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.02"))
self.exchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
self.budget_checker: BudgetChecker = self.exchange.budget_checker
def test_populate_collateral_fields_percent_fees_in_third_token(self):
pfc_token = "PFC"
trade_fee_schema = TradeFeeSchema(
percent_fee_token=pfc_token,
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.01"),
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
pfc_quote_pair = combine_to_hb_trading_pair(self.quote_asset,
pfc_token)
exchange.set_balanced_order_book( # the quote to pfc price will be 1:2
trading_pair=pfc_quote_pair,
mid_price=1.5,
min_price=1,
max_price=2,
price_step_size=1,
volume_step_size=1,
)
budget_checker: BudgetChecker = exchange.budget_checker
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertEqual(pfc_token,
populated_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_collateral.amount)
self.assertEqual(pfc_token,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
populated_candidate.potential_returns.amount)
def setUp(self):
self.maxDiff = None
self.clock: Clock = Clock(ClockMode.BACKTEST, 1.0,
self.start_timestamp, self.end_timestamp)
self.market_1: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.market_2: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.market_1.set_balanced_order_book(self.market_1_trading_pairs[0],
1.0, 0.5, 1.5, 0.01, 10)
self.market_2.set_balanced_order_book(self.market_2_trading_pairs[0],
1.0, 0.5, 1.5, 0.005, 5)
self.market_1.set_balance("COINALPHA", 500)
self.market_1.set_balance("WETH", 500)
self.market_2.set_balance("COINALPHA", 500)
self.market_2.set_balance("ETH", 500)
self.market_1.set_quantization_param(
QuantizationParams(self.market_1_trading_pairs[0], 5, 5, 5, 5))
self.market_2.set_quantization_param(
QuantizationParams(self.market_2_trading_pairs[0], 5, 5, 5, 5))
self.market_trading_pair_tuple_1 = MarketTradingPairTuple(
*([self.market_1] + self.market_1_trading_pairs))
self.market_trading_pair_tuple_2 = MarketTradingPairTuple(
*([self.market_2] + self.market_2_trading_pairs))
self.market_pair: ArbitrageMarketPair = ArbitrageMarketPair(
self.market_trading_pair_tuple_1, self.market_trading_pair_tuple_2)
self.logging_options: int = ArbitrageStrategy.OPTION_LOG_ALL
self.strategy: ArbitrageStrategy = ArbitrageStrategy()
self.strategy.init_params(
[self.market_pair],
min_profitability=Decimal("0.03"),
logging_options=self.logging_options,
secondary_to_primary_quote_conversion_rate=Decimal("0.95"))
self.clock.add_iterator(self.market_1)
self.clock.add_iterator(self.market_2)
self.clock.add_iterator(self.strategy)
self.market_1_order_fill_logger: EventLogger = EventLogger()
self.market_2_order_fill_logger: EventLogger = EventLogger()
self.market_1.add_listener(MarketEvent.OrderFilled,
self.market_1_order_fill_logger)
self.market_2.add_listener(MarketEvent.OrderFilled,
self.market_2_order_fill_logger)
def test_adjust_candidate_insufficient_funds_for_flat_fees_and_percent_fees_third_token(
self):
fc_token = "PFC"
trade_fee_schema = TradeFeeSchema(
percent_fee_token=fc_token,
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.01"),
maker_fixed_fees=[TokenAmount(fc_token, Decimal("1"))])
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
pfc_quote_pair = combine_to_hb_trading_pair(self.quote_asset, fc_token)
exchange.set_balanced_order_book( # the quote to pfc price will be 1:2
trading_pair=pfc_quote_pair,
mid_price=1.5,
min_price=1,
max_price=2,
price_step_size=1,
volume_step_size=1,
)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("20"))
exchange.set_balance(
fc_token, Decimal("1.2")
) # 0.2 less than required; will result in 50% order reduction
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.order_collateral.amount)
self.assertEqual(fc_token,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_collateral.amount)
self.assertEqual(fc_token, adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_value.amount)
self.assertEqual(1, len(adjusted_candidate.fixed_fee_collaterals))
fixed_fee_collateral = adjusted_candidate.fixed_fee_collaterals[0]
self.assertEqual(fc_token, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.potential_returns.amount)
def __init__(
self,
client_config_map: "ClientConfigAdapter",
trade_fee_schema: Optional[TradeFeeSchema] = None,
buy_collateral_token: Optional[str] = None,
sell_collateral_token: Optional[str] = None,
):
MockPaperExchange.__init__(self,
client_config_map=client_config_map,
trade_fee_schema=trade_fee_schema)
PerpetualTrading.__init__(self)
self._budget_checker = PerpetualBudgetChecker(exchange=self)
self._funding_payment_span = [0, 10]
self._buy_collateral_token = buy_collateral_token
self._sell_collateral_token = sell_collateral_token
def setUpClass(cls):
cls.ev_loop = asyncio.get_event_loop()
cls.trading_pair = "COINALPHA-HBOT"
cls.limit_orders: List[LimitOrder] = [
LimitOrder(client_order_id=f"LIMIT//-{i}-{int(time.time()*1e6)}",
trading_pair=cls.trading_pair,
is_buy=True if i % 2 == 0 else False,
base_currency=cls.trading_pair.split("-")[0],
quote_currency=cls.trading_pair.split("-")[1],
price=Decimal(f"{100 - i}") if i %
2 == 0 else Decimal(f"{100 + i}"),
quantity=Decimal(f"{10 * (i + 1)}"),
creation_timestamp=int(time.time() * 1e6))
for i in range(20)
]
cls.market_orders: List[MarketOrder] = [
MarketOrder(order_id=f"MARKET//-{i}-{int(time.time()*1e3)}",
trading_pair=cls.trading_pair,
is_buy=True if i % 2 == 0 else False,
base_asset=cls.trading_pair.split("-")[0],
quote_asset=cls.trading_pair.split("-")[1],
amount=float(f"{10 * (i + 1)}"),
timestamp=time.time()) for i in range(20)
]
cls.market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
cls.market_info: MarketTradingPairTuple = MarketTradingPairTuple(
cls.market, cls.trading_pair, *cls.trading_pair.split("-"))
def setUp(self):
self.maxDiff = None
self.clock: Clock = Clock(ClockMode.BACKTEST, 1.0,
self.start_timestamp, self.end_timestamp)
self.market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.market.set_balanced_order_book(self.trading_pair, 10, 5, 15, 0.1,
1)
self.market.set_balance(self.base_asset, 500)
self.market.set_balance(self.quote_asset, 500)
self.market.set_quantization_param(
QuantizationParams(self.trading_pair, 5, 5, 5, 5))
self.market_info = MarketTradingPairTuple(self.market,
self.trading_pair,
self.base_asset,
self.quote_asset)
self.logging_options: int = CeloArbStrategy.OPTION_LOG_ALL
self.strategy = CeloArbStrategy()
self.strategy.init_params(self.market_info,
min_profitability=Decimal("0.01"),
order_amount=Decimal("1"),
celo_slippage_buffer=Decimal("0.001"),
logging_options=self.logging_options,
hb_app_notification=False,
mock_celo_cli_mode=True)
self.clock.add_iterator(self.market)
self.clock.add_iterator(self.strategy)
self.market_order_fill_logger: EventLogger = EventLogger()
self.market.add_listener(MarketEvent.OrderFilled,
self.market_order_fill_logger)
CeloCLI.unlock_account(TEST_ADDRESS, TEST_PASSWORD)
def setUp(self):
self.log_records = []
self.start: pd.Timestamp = pd.Timestamp("2019-01-01", tz="UTC")
self.end: pd.Timestamp = pd.Timestamp("2019-01-01 01:00:00", tz="UTC")
self.start_timestamp: float = self.start.timestamp()
self.end_timestamp: float = self.end.timestamp()
self.connector_name: str = "mock_paper_exchange"
self.trading_pair: str = "HBOT-USDT"
self.base_asset, self.quote_asset = self.trading_pair.split("-")
self.base_balance: int = 500
self.quote_balance: int = 5000
self.initial_mid_price: int = 100
self.clock_tick_size = 1
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size,
self.start_timestamp, self.end_timestamp)
self.connector: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.connector.set_balanced_order_book(trading_pair=self.trading_pair,
mid_price=100,
min_price=50,
max_price=150,
price_step_size=1,
volume_step_size=10)
self.connector.set_balance(self.base_asset, self.base_balance)
self.connector.set_balance(self.quote_asset, self.quote_balance)
self.connector.set_quantization_param(
QuantizationParams(self.trading_pair, 6, 6, 6, 6))
self.clock.add_iterator(self.connector)
ScriptStrategyBase.markets = {self.connector_name: {self.trading_pair}}
self.strategy = ScriptStrategyBase(
{self.connector_name: self.connector})
self.strategy.logger().setLevel(1)
self.strategy.logger().addHandler(self)
def setUp(self) -> None:
np.random.seed(self.INITIAL_RANDOM_SEED)
trade_fee_schema = TradeFeeSchema(
maker_percent_fee_decimal=Decimal("0.25"),
taker_percent_fee_decimal=Decimal("0.25"))
client_config_map = ClientConfigAdapter(ClientConfigMap())
self.market: MockPaperExchange = MockPaperExchange(
client_config_map, trade_fee_schema)
self.market_info: MarketTradingPairTuple = MarketTradingPairTuple(
self.market, self.trading_pair, *self.trading_pair.split("-"))
self.market.set_balanced_order_book(trading_pair=self.trading_pair,
mid_price=self.initial_mid_price,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
self.market.set_balance("COINALPHA", 1)
self.market.set_balance("HBOT", 500)
self.market.set_quantization_param(
QuantizationParams(self.trading_pair.split("-")[0], 6, 6, 6, 6))
self.price_delegate = OrderBookAssetPriceDelegate(
self.market_info.market, self.trading_pair)
self.indicator = TradingIntensityIndicator(
order_book=self.market_info.order_book,
price_delegate=self.price_delegate,
sampling_length=self.BUFFER_LENGTH)
def create_market(trading_pairs: List[str], mid_price, balances: Dict[str, int]) -> \
(MockPaperExchange, Dict[str, MarketTradingPairTuple]):
"""
Create a BacktestMarket and marketinfo dictionary to be used by the liquidity mining strategy
"""
market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap())
)
market_infos: Dict[str, MarketTradingPairTuple] = {}
for trading_pair in trading_pairs:
base_asset = trading_pair.split("-")[0]
quote_asset = trading_pair.split("-")[1]
market.set_balanced_order_book(trading_pair=trading_pair,
mid_price=mid_price,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
market.set_quantization_param(QuantizationParams(trading_pair, 6, 6, 6, 6))
market_infos[trading_pair] = MarketTradingPairTuple(market, trading_pair, base_asset, quote_asset)
for asset, value in balances.items():
market.set_balance(asset, value)
return market, market_infos
def setUp(self):
self.clock_tick_size = 1
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size,
self.start_timestamp, self.end_timestamp)
self.market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.mid_price = 100
self.bid_spread = 0.01
self.ask_spread = 0.01
self.order_refresh_time = 30
self.market.set_balanced_order_book(trading_pair=self.trading_pair,
mid_price=self.mid_price,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
self.market.set_balance("HBOT", 500)
self.market.set_balance("ETH", 5000)
self.market.set_quantization_param(
QuantizationParams(self.trading_pair, 6, 6, 6, 6))
self.market_info = MarketTradingPairTuple(self.market,
self.trading_pair,
self.base_asset,
self.quote_asset)
self.clock.add_iterator(self.market)
self.maker_order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.market.add_listener(MarketEvent.OrderFilled,
self.maker_order_fill_logger)
self.market.add_listener(MarketEvent.OrderCancelled,
self.cancel_order_logger)
def setUp(self):
self.market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.market_info: MarketTradingPairTuple = MarketTradingPairTuple(
self.market, self.trading_pair, *self.trading_pair.split("-"))
self.strategy: StrategyPyBase = MockPyStrategy()
self.strategy.add_markets([self.market])
def test_adjust_candidate_insufficient_funds_for_flat_fees_and_percent_fees(
self):
trade_fee_schema = TradeFeeSchema(
maker_percent_fee_decimal=Decimal("0.1"),
maker_fixed_fees=[TokenAmount(self.quote_asset, Decimal("1"))],
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("12"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("1"),
adjusted_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("1"),
adjusted_candidate.percent_fee_value.amount)
self.assertEqual(1, len(adjusted_candidate.fixed_fee_collaterals))
fixed_fee_collateral = adjusted_candidate.fixed_fee_collaterals[0]
self.assertEqual(self.quote_asset, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.potential_returns.amount)
def test_add_markets(self):
self.assertEqual(1, len(self.strategy.active_markets))
new_market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.strategy.add_markets([new_market])
self.assertEqual(2, len(self.strategy.active_markets))
def setUp(self):
super().setUp()
self.log_records = []
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size, self.start_timestamp, self.end_timestamp)
self.market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap())
)
self.mid_price = 100
self.order_delay_time = 15
self.cancel_order_wait_time = 45
self.market.set_balanced_order_book(trading_pair=self.maker_trading_pairs[0],
mid_price=self.mid_price, min_price=1,
max_price=200, price_step_size=1, volume_step_size=10)
self.market.set_balance("COINALPHA", 500)
self.market.set_balance("WETH", 50000)
self.market.set_balance("QETH", 500)
self.market.set_quantization_param(
QuantizationParams(
self.maker_trading_pairs[0], 6, 6, 6, 6
)
)
self.market_info: MarketTradingPairTuple = MarketTradingPairTuple(*([self.market] + self.maker_trading_pairs))
# Define strategies to test
self.limit_buy_strategy: TwapTradeStrategy = TwapTradeStrategy(
[self.market_info],
order_price=Decimal("99"),
cancel_order_wait_time=self.cancel_order_wait_time,
is_buy=True,
order_delay_time=self.order_delay_time,
target_asset_amount=Decimal("2.0"),
order_step_size=Decimal("1.0")
)
self.limit_sell_strategy: TwapTradeStrategy = TwapTradeStrategy(
[self.market_info],
order_price=Decimal("101"),
cancel_order_wait_time=self.cancel_order_wait_time,
is_buy=False,
order_delay_time=self.order_delay_time,
target_asset_amount=Decimal("5.0"),
order_step_size=Decimal("1.67")
)
self.clock.add_iterator(self.market)
self.maker_order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.buy_order_completed_logger: EventLogger = EventLogger()
self.sell_order_completed_logger: EventLogger = EventLogger()
self.market.add_listener(MarketEvent.BuyOrderCompleted, self.buy_order_completed_logger)
self.market.add_listener(MarketEvent.SellOrderCompleted, self.sell_order_completed_logger)
self.market.add_listener(MarketEvent.OrderFilled, self.maker_order_fill_logger)
self.market.add_listener(MarketEvent.OrderCancelled, self.cancel_order_logger)
def setUpClass(cls):
cls.ev_loop = asyncio.get_event_loop()
cls.clock: Clock = Clock(ClockMode.BACKTEST, cls.tick_size, cls.start_timestamp, cls.end_timestamp)
cls.market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap())
)
cls.strategy: GetOrderBookStrategy = GetOrderBookStrategy(
exchange=cls.market,
trading_pair=cls.trading_pair,
)
def test_empty_maker_orderbook(self):
self.clock.remove_iterator(self.strategy)
self.clock.remove_iterator(self.maker_market)
self.maker_market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
# Orderbook is empty
self.maker_market.new_empty_order_book(self.trading_pairs_maker[0])
self.market_pair: CrossExchangeMarketPair = CrossExchangeMarketPair(
MarketTradingPairTuple(self.maker_market,
*self.trading_pairs_maker),
MarketTradingPairTuple(self.taker_market,
*self.trading_pairs_taker),
)
config_map_raw = deepcopy(self.config_map_raw)
config_map_raw.min_profitability = Decimal("0.5")
config_map_raw.adjust_order_enabled = False
config_map_raw.order_amount = Decimal("1")
config_map = ClientConfigAdapter(config_map_raw)
self.strategy: CrossExchangeMarketMakingStrategy = CrossExchangeMarketMakingStrategy(
)
self.strategy.init_params(
config_map=config_map,
market_pairs=[self.market_pair],
logging_options=self.logging_options,
)
self.maker_market.set_balance("COINALPHA", 5)
self.maker_market.set_balance("WETH", 5)
self.maker_market.set_balance("QETH", 5)
self.maker_market.set_quantization_param(
QuantizationParams(self.trading_pairs_maker[0], 4, 4, 4, 4))
self.clock.add_iterator(self.strategy)
self.clock.add_iterator(self.maker_market)
self.clock.backtest_til(self.start_timestamp + 4)
self.assertEqual(1, len(self.strategy.active_bids))
self.assertEqual(1, len(self.strategy.active_asks))
bid_order: LimitOrder = self.strategy.active_bids[0][1]
ask_order: LimitOrder = self.strategy.active_asks[0][1]
# Places orders based on taker orderbook
self.assertEqual(Decimal("0.9945"), bid_order.price)
self.assertEqual(Decimal("1.006"), ask_order.price)
self.assertAlmostEqual(Decimal("1"), round(bid_order.quantity, 4))
self.assertAlmostEqual(Decimal("1"), round(ask_order.quantity, 4))
def test_with_adjust_orders_enabled(self):
self.clock.remove_iterator(self.strategy)
self.clock.remove_iterator(self.maker_market)
self.maker_market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.maker_market.set_balanced_order_book(self.trading_pairs_maker[0],
1.0, 0.5, 1.5, 0.1, 10)
self.market_pair: CrossExchangeMarketPair = CrossExchangeMarketPair(
MarketTradingPairTuple(self.maker_market,
*self.trading_pairs_maker),
MarketTradingPairTuple(self.taker_market,
*self.trading_pairs_taker),
)
config_map_raw = deepcopy(self.config_map_raw)
config_map_raw.order_size_portfolio_ratio_limit = Decimal("30")
config_map_raw.min_profitability = Decimal("0.5")
config_map_raw.adjust_order_enabled = True
config_map = ClientConfigAdapter(config_map_raw)
self.strategy: CrossExchangeMarketMakingStrategy = CrossExchangeMarketMakingStrategy(
)
self.strategy.init_params(
config_map=config_map,
market_pairs=[self.market_pair],
logging_options=self.logging_options,
)
self.maker_market.set_balance("COINALPHA", 5)
self.maker_market.set_balance("WETH", 5)
self.maker_market.set_balance("QETH", 5)
self.maker_market.set_quantization_param(
QuantizationParams(self.trading_pairs_maker[0], 4, 4, 4, 4))
self.clock.add_iterator(self.strategy)
self.clock.add_iterator(self.maker_market)
self.clock.backtest_til(self.start_timestamp + 5)
self.assertEqual(1, len(self.strategy.active_bids))
self.assertEqual(1, len(self.strategy.active_asks))
bid_order: LimitOrder = self.strategy.active_bids[0][1]
ask_order: LimitOrder = self.strategy.active_asks[0][1]
# place above top bid (at 0.95)
self.assertAlmostEqual(Decimal("0.9501"), bid_order.price)
# place below top ask (at 1.05)
self.assertAlmostEqual(Decimal("1.049"), ask_order.price)
self.assertAlmostEqual(Decimal("3"), round(bid_order.quantity, 4))
self.assertAlmostEqual(Decimal("3"), round(ask_order.quantity, 4))
def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size, self.start_timestamp, self.end_timestamp)
self.market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap())
)
self.market.set_balanced_order_book(trading_pair=self.trading_pair,
mid_price=100,
min_price=50,
max_price=150,
price_step_size=1,
volume_step_size=10)
self.market.set_balance("COINALPHA", self.base_balance)
self.market.set_balance("HBOT", self.quote_balance)
self.market.set_quantization_param(
QuantizationParams(
self.trading_pair, 6, 6, 6, 6
)
)
self.market_info = MarketTradingPairTuple(self.market, self.trading_pair, self.base_asset, self.quote_asset)
def test_populate_collateral_fields_fixed_fees_in_quote_token(self):
trade_fee_schema = TradeFeeSchema(
maker_fixed_fees=[TokenAmount(self.quote_asset, Decimal("1"))],
taker_fixed_fees=[TokenAmount(self.base_asset, Decimal("2"))],
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertIsNone(populated_candidate.percent_fee_collateral)
self.assertIsNone(populated_candidate.percent_fee_value)
self.assertEqual(1, len(populated_candidate.fixed_fee_collaterals))
fixed_fee_collateral = populated_candidate.fixed_fee_collaterals[0]
self.assertEqual(self.quote_asset, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
populated_candidate.potential_returns.amount)
def test_adjust_candidate_insufficient_funds_for_flat_fees_third_token(
self):
fee_asset = "FEE"
trade_fee_schema = TradeFeeSchema(
maker_fixed_fees=[TokenAmount(fee_asset, Decimal("11"))], )
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("100"))
exchange.set_balance(fee_asset, Decimal("10"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertTrue(adjusted_candidate.is_zero_order)
def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size,
self.start_timestamp, self.end_timestamp)
self.mid_price = 100
self.time_delay = 15
self.cancel_order_wait_time = 45
self.market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.market.set_balanced_order_book(trading_pair=self.trading_pair,
mid_price=self.mid_price,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
self.market.set_balance("COINALPHA", 500)
self.market.set_balance("WETH", 5000)
self.market.set_quantization_param(
QuantizationParams(self.trading_pair, 6, 6, 6, 6))
self.market_info: MarketTradingPairTuple = MarketTradingPairTuple(
self.market, self.trading_pair, self.base_asset, self.quote_asset)
# Define strategies to test
self.buy_mid_price_strategy: PerformTradeStrategy = PerformTradeStrategy(
exchange=self.market,
trading_pair=self.trading_pair,
is_buy=True,
spread=self.spread,
order_amount=Decimal("1.0"),
price_type=PriceType.MidPrice)
self.sell_mid_price_strategy: PerformTradeStrategy = PerformTradeStrategy(
exchange=self.market,
trading_pair=self.trading_pair,
is_buy=False,
spread=self.spread,
order_amount=Decimal("1.0"),
price_type=PriceType.MidPrice)
self.buy_last_price_strategy: PerformTradeStrategy = PerformTradeStrategy(
exchange=self.market,
trading_pair=self.trading_pair,
is_buy=True,
spread=self.spread,
order_amount=Decimal("1.0"),
price_type=PriceType.LastTrade)
self.sell_last_price_strategy: PerformTradeStrategy = PerformTradeStrategy(
exchange=self.market,
trading_pair=self.trading_pair,
is_buy=False,
spread=self.spread,
order_amount=Decimal("1.0"),
price_type=PriceType.LastTrade)
self.buy_last_own_trade_price_strategy: PerformTradeStrategy = PerformTradeStrategy(
exchange=self.market,
trading_pair=self.trading_pair,
is_buy=True,
spread=self.spread,
order_amount=Decimal("1.0"),
price_type=PriceType.LastOwnTrade)
self.sell_last_own_trade_price_strategy: PerformTradeStrategy = PerformTradeStrategy(
exchange=self.market,
trading_pair=self.trading_pair,
is_buy=False,
spread=self.spread,
order_amount=Decimal("1.0"),
price_type=PriceType.LastOwnTrade)
self.clock.add_iterator(self.market)
self.maker_order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.buy_order_completed_logger: EventLogger = EventLogger()
self.sell_order_completed_logger: EventLogger = EventLogger()
self.market.add_listener(MarketEvent.BuyOrderCompleted,
self.buy_order_completed_logger)
self.market.add_listener(MarketEvent.SellOrderCompleted,
self.sell_order_completed_logger)
self.market.add_listener(MarketEvent.OrderFilled,
self.maker_order_fill_logger)
self.market.add_listener(MarketEvent.OrderCancelled,
self.cancel_order_logger)
def simulate_limit_order_fill(market: MockPaperExchange,
limit_order: LimitOrder, timestamp: float):
quote_currency_traded: Decimal = limit_order.price * limit_order.quantity
base_currency_traded: Decimal = limit_order.quantity
quote_currency: str = limit_order.quote_currency
base_currency: str = limit_order.base_currency
trade_event = OrderBookTradeEvent(
trading_pair=limit_order.trading_pair,
timestamp=timestamp,
type=TradeType.BUY if limit_order.is_buy else TradeType.SELL,
price=limit_order.price,
amount=limit_order.quantity,
)
if limit_order.is_buy:
market.set_balance(
quote_currency,
market.get_balance(quote_currency) - quote_currency_traded)
market.set_balance(
base_currency,
market.get_balance(base_currency) + base_currency_traded)
market.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair, TradeType.BUY,
OrderType.LIMIT, limit_order.price,
limit_order.quantity,
AddedToCostTradeFee(Decimal(0.0))))
market.trigger_event(
MarketEvent.BuyOrderCompleted,
BuyOrderCompletedEvent(market.current_timestamp,
limit_order.client_order_id,
base_currency, quote_currency,
base_currency_traded,
quote_currency_traded, OrderType.LIMIT))
market.order_books[limit_order.trading_pair].apply_trade(
trade_event)
else:
market.set_balance(
quote_currency,
market.get_balance(quote_currency) + quote_currency_traded)
market.set_balance(
base_currency,
market.get_balance(base_currency) - base_currency_traded)
market.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair, TradeType.SELL,
OrderType.LIMIT, limit_order.price,
limit_order.quantity,
AddedToCostTradeFee(Decimal(0.0))))
market.trigger_event(
MarketEvent.SellOrderCompleted,
SellOrderCompletedEvent(market.current_timestamp,
limit_order.client_order_id,
base_currency, quote_currency,
base_currency_traded,
quote_currency_traded,
OrderType.LIMIT))
market.order_books[limit_order.trading_pair].apply_trade(
trade_event)
def simulate_limit_order_fill(market: MockPaperExchange, limit_order: LimitOrder):
quote_currency_traded: Decimal = limit_order.price * limit_order.quantity
base_currency_traded: Decimal = limit_order.quantity
quote_currency: str = limit_order.quote_currency
base_currency: str = limit_order.base_currency
if limit_order.is_buy:
market.set_balance(quote_currency, market.get_balance(quote_currency) - quote_currency_traded)
market.set_balance(base_currency, market.get_balance(base_currency) + base_currency_traded)
else:
market.set_balance(quote_currency, market.get_balance(quote_currency) + quote_currency_traded)
market.set_balance(base_currency, market.get_balance(base_currency) - base_currency_traded)
market.trigger_event(MarketEvent.OrderFilled, OrderFilledEvent(
market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair,
TradeType.BUY if limit_order.is_buy else TradeType.SELL,
OrderType.LIMIT,
limit_order.price,
limit_order.quantity,
AddedToCostTradeFee(Decimal("0"))
))
event_type = MarketEvent.BuyOrderCompleted if limit_order.is_buy else MarketEvent.SellOrderCompleted
event_class = BuyOrderCompletedEvent if limit_order.is_buy else SellOrderCompletedEvent
market.trigger_event(event_type, event_class(
market.current_timestamp,
limit_order.client_order_id,
base_currency,
quote_currency,
base_currency_traded,
quote_currency_traded,
OrderType.LIMIT
))
def setUp(self):
self.log_records = []
self.order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.clock: Clock = Clock(ClockMode.BACKTEST, 1, self.start_timestamp,
self.end_timestamp)
self.spot_connector: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.spot_connector.set_balanced_order_book(trading_pair=trading_pair,
mid_price=100,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
self.spot_connector.set_balance(base_asset, 5)
self.spot_connector.set_balance(quote_asset, 500)
self.spot_connector.set_quantization_param(
QuantizationParams(trading_pair, 6, 6, 6, 6))
self.spot_market_info = MarketTradingPairTuple(self.spot_connector,
trading_pair,
base_asset, quote_asset)
self.perp_connector: MockPerpConnector = MockPerpConnector(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.perp_connector.set_leverage(trading_pair, 5)
self.perp_connector.set_balanced_order_book(trading_pair=trading_pair,
mid_price=110,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
self.perp_connector.set_balance(base_asset, 5)
self.perp_connector.set_balance(quote_asset, 500)
self.perp_connector.set_quantization_param(
QuantizationParams(trading_pair, 6, 6, 6, 6))
self.perp_market_info = MarketTradingPairTuple(self.perp_connector,
trading_pair,
base_asset, quote_asset)
self.clock.add_iterator(self.spot_connector)
self.clock.add_iterator(self.perp_connector)
self.spot_connector.add_listener(MarketEvent.OrderFilled,
self.order_fill_logger)
self.spot_connector.add_listener(MarketEvent.OrderCancelled,
self.cancel_order_logger)
self.perp_connector.add_listener(MarketEvent.OrderFilled,
self.order_fill_logger)
self.perp_connector.add_listener(MarketEvent.OrderCancelled,
self.cancel_order_logger)
self.strategy = SpotPerpetualArbitrageStrategy()
self.strategy.init_params(
spot_market_info=self.spot_market_info,
perp_market_info=self.perp_market_info,
order_amount=Decimal("1"),
perp_leverage=5,
min_opening_arbitrage_pct=Decimal("0.05"),
min_closing_arbitrage_pct=Decimal("0.01"),
next_arbitrage_opening_delay=10,
)
self.strategy.logger().setLevel(1)
self.strategy.logger().addHandler(self)
self._last_tick = 0
def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size,
self.start_timestamp, self.end_timestamp)
self.market: MockPaperExchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.mid_price = 100
self.time_delay = 15
self.cancel_order_wait_time = 45
self.market.set_balanced_order_book(self.maker_symbols[0],
mid_price=self.mid_price,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
self.market.set_balance("COINALPHA", 500)
self.market.set_balance("WETH", 500000000000)
self.market.set_balance("QETH", 500)
self.market.set_quantization_param(
QuantizationParams(self.maker_symbols[0], 6, 6, 6, 6))
self.market_info: MarketTradingPairTuple = MarketTradingPairTuple(
*([self.market] + self.maker_symbols))
# Define strategies to test
self.limit_buy_strategy: Dev5TwapTradeStrategy = Dev5TwapTradeStrategy(
[self.market_info],
order_type="limit",
order_price=Decimal("99"),
cancel_order_wait_time=self.cancel_order_wait_time,
is_buy=True,
time_delay=self.time_delay,
is_vwap=True,
percent_slippage=50.0,
order_percent_of_volume=0.5,
order_amount=Decimal("100.0"))
self.limit_sell_strategy: Dev5TwapTradeStrategy = Dev5TwapTradeStrategy(
[self.market_info],
order_type="limit",
order_price=Decimal("101"),
cancel_order_wait_time=self.cancel_order_wait_time,
is_buy=False,
time_delay=self.time_delay,
is_vwap=True,
percent_slippage=50.0,
order_percent_of_volume=0.5,
order_amount=Decimal("100.0"))
self.market_buy_strategy: Dev5TwapTradeStrategy = Dev5TwapTradeStrategy(
[self.market_info],
order_type="market",
order_price=None,
cancel_order_wait_time=self.cancel_order_wait_time,
is_buy=True,
time_delay=self.time_delay,
is_vwap=True,
percent_slippage=50.0,
order_percent_of_volume=0.5,
order_amount=Decimal("100.0"))
self.market_sell_strategy: Dev5TwapTradeStrategy = Dev5TwapTradeStrategy(
[self.market_info],
order_type="market",
order_price=None,
cancel_order_wait_time=self.cancel_order_wait_time,
is_buy=False,
time_delay=self.time_delay,
is_vwap=True,
percent_slippage=50.0,
order_percent_of_volume=0.5,
order_amount=Decimal("100.0"))
self.clock.add_iterator(self.market)
self.maker_order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.buy_order_completed_logger: EventLogger = EventLogger()
self.sell_order_completed_logger: EventLogger = EventLogger()
self.market.add_listener(MarketEvent.BuyOrderCompleted,
self.buy_order_completed_logger)
self.market.add_listener(MarketEvent.SellOrderCompleted,
self.sell_order_completed_logger)
self.market.add_listener(MarketEvent.OrderFilled,
self.maker_order_fill_logger)
self.market.add_listener(MarketEvent.OrderCancelled,
self.cancel_order_logger)
def setUp(self):
self.clock_tick_size = 1
self.clock: Clock = Clock(ClockMode.BACKTEST, self.clock_tick_size, self.start_timestamp, self.end_timestamp)
self.client_config_map = ClientConfigAdapter(ClientConfigMap())
self.market: MockPaperExchange = MockPaperExchange(self.client_config_map)
self.mid_price = 100
self.start_order_spread = 0.01
self.order_refresh_time = 30
self.n_levels = 10
self.grid_price_ceiling = 200
self.grid_price_floor = 20
self.market.set_balanced_order_book(self.trading_pair,
mid_price=self.mid_price,
min_price=1,
max_price=200,
price_step_size=1,
volume_step_size=10)
self.market.set_balance("HBOT", 500)
self.market.set_balance("ETH", 5000)
self.market.set_quantization_param(
QuantizationParams(
self.trading_pair, 6, 6, 6, 6
)
)
self.market_info = MarketTradingPairTuple(self.market, self.trading_pair,
self.base_asset, self.quote_asset)
self.clock.add_iterator(self.market)
self.order_fill_logger: EventLogger = EventLogger()
self.cancel_order_logger: EventLogger = EventLogger()
self.market.add_listener(MarketEvent.OrderFilled, self.order_fill_logger)
self.market.add_listener(MarketEvent.OrderCancelled, self.cancel_order_logger)
self.quote_required_strategy = FixedGridStrategy()
self.quote_required_strategy.init_params(
self.market_info,
n_levels=10,
grid_price_floor = Decimal("20"),
grid_price_ceiling = Decimal("200"),
start_order_spread=Decimal("0.01"),
order_amount=Decimal("52"),
order_refresh_time=30.0
)
self.base_required_strategy = FixedGridStrategy()
self.base_required_strategy.init_params(
self.market_info,
n_levels=10,
grid_price_floor = Decimal("110"),
grid_price_ceiling = Decimal("200"),
start_order_spread=Decimal("0.01"),
order_amount=Decimal("60"),
order_refresh_time=30.0
)
self.no_rebalance_strategy = FixedGridStrategy()
self.no_rebalance_strategy.init_params(
self.market_info,
n_levels=10,
grid_price_floor = Decimal("40"),
grid_price_ceiling = Decimal("130"),
start_order_spread=Decimal("0.01"),
order_amount=Decimal("5"),
order_refresh_time=10.0
)
class BudgetCheckerTest(unittest.TestCase):
def setUp(self) -> None:
super().setUp()
self.base_asset = "COINALPHA"
self.quote_asset = "HBOT"
self.trading_pair = f"{self.base_asset}-{self.quote_asset}"
trade_fee_schema = TradeFeeSchema(
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.02"))
self.exchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
self.budget_checker: BudgetChecker = self.exchange.budget_checker
def test_populate_collateral_fields_buy_order(self):
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = self.budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.2"),
populated_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
populated_candidate.potential_returns.amount)
def test_populate_collateral_fields_taker_buy_order(self):
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=False,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = self.budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
populated_candidate.potential_returns.amount)
def test_populate_collateral_fields_buy_order_percent_fee_from_returns(
self):
trade_fee_schema = TradeFeeSchema(
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.01"),
buy_percent_fee_deducted_from_returns=True,
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertIsNone(populated_candidate.percent_fee_collateral)
self.assertEqual(self.base_asset,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.1"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("9.90"),
populated_candidate.potential_returns.amount)
def test_populate_collateral_fields_sell_order(self):
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = self.budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.base_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
populated_candidate.order_collateral.amount)
self.assertIsNone(populated_candidate.percent_fee_collateral)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.quote_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("19.8"),
populated_candidate.potential_returns.amount)
def test_populate_collateral_fields_percent_fees_in_third_token(self):
pfc_token = "PFC"
trade_fee_schema = TradeFeeSchema(
percent_fee_token=pfc_token,
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.01"),
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
pfc_quote_pair = combine_to_hb_trading_pair(self.quote_asset,
pfc_token)
exchange.set_balanced_order_book( # the quote to pfc price will be 1:2
trading_pair=pfc_quote_pair,
mid_price=1.5,
min_price=1,
max_price=2,
price_step_size=1,
volume_step_size=1,
)
budget_checker: BudgetChecker = exchange.budget_checker
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertEqual(pfc_token,
populated_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_collateral.amount)
self.assertEqual(pfc_token,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
populated_candidate.potential_returns.amount)
def test_populate_collateral_fields_fixed_fees_in_quote_token(self):
trade_fee_schema = TradeFeeSchema(
maker_fixed_fees=[TokenAmount(self.quote_asset, Decimal("1"))],
taker_fixed_fees=[TokenAmount(self.base_asset, Decimal("2"))],
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertIsNone(populated_candidate.percent_fee_collateral)
self.assertIsNone(populated_candidate.percent_fee_value)
self.assertEqual(1, len(populated_candidate.fixed_fee_collaterals))
fixed_fee_collateral = populated_candidate.fixed_fee_collaterals[0]
self.assertEqual(self.quote_asset, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
populated_candidate.potential_returns.amount)
def test_adjust_candidate_sufficient_funds(self):
self.exchange.set_balance(self.quote_asset, Decimal("100"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = self.budget_checker.adjust_candidate(
order_candidate)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
adjusted_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_value.amount)
self.assertEqual(0, len(adjusted_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.potential_returns.amount)
def test_adjust_candidate_insufficient_funds_all_or_none(self):
self.exchange.set_balance(self.quote_asset, Decimal("10"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = self.budget_checker.adjust_candidate(
order_candidate, all_or_none=True)
self.assertEqual(0, adjusted_candidate.amount)
self.assertIsNone(adjusted_candidate.order_collateral)
self.assertIsNone(adjusted_candidate.percent_fee_collateral)
self.assertIsNone(adjusted_candidate.percent_fee_value)
self.assertEqual(0, len(adjusted_candidate.fixed_fee_collaterals))
self.assertIsNone(adjusted_candidate.potential_returns)
def test_adjust_candidate_buy_insufficient_funds_partial_adjustment_allowed(
self):
q_params = QuantizationParams(
trading_pair=self.trading_pair,
price_precision=8,
price_decimals=2,
order_size_precision=8,
order_size_decimals=2,
)
self.exchange.set_quantization_param(q_params)
self.exchange.set_balance(self.quote_asset, Decimal("10"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = self.budget_checker.adjust_candidate(
order_candidate, all_or_none=False)
# order amount quantized to two decimal places
self.assertEqual(Decimal("4.95"), adjusted_candidate.amount) # 5 * .99
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(
Decimal("9.9"),
adjusted_candidate.order_collateral.amount) # 4.95 * 2
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(
Decimal("0.099"),
adjusted_candidate.percent_fee_collateral.amount) # 9.9 * 0.01
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_value.token)
self.assertEqual(
Decimal("0.099"),
adjusted_candidate.percent_fee_value.amount) # 9.9 * 0.01
self.assertEqual(0, len(adjusted_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("4.95"),
adjusted_candidate.potential_returns.amount)
def test_adjust_candidate_sell_insufficient_funds_partial_adjustment_allowed(
self):
self.exchange.set_balance(self.base_asset, Decimal("5"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = self.budget_checker.adjust_candidate(
order_candidate, all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.order_collateral.amount)
self.assertIsNone(adjusted_candidate.percent_fee_collateral)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_value.token)
self.assertEqual(
Decimal("0.1"),
adjusted_candidate.percent_fee_value.amount) # 10 * 0.01
self.assertEqual(0, len(adjusted_candidate.fixed_fee_collaterals))
self.assertEqual(self.quote_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(
Decimal("9.9"),
adjusted_candidate.potential_returns.amount) # 10 * 0.99
def test_adjust_candidate_insufficient_funds_for_flat_fees_same_token(
self):
trade_fee_schema = TradeFeeSchema(
maker_fixed_fees=[TokenAmount(self.quote_asset, Decimal("1"))], )
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("11"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.order_collateral.amount)
self.assertIsNone(adjusted_candidate.percent_fee_collateral)
self.assertIsNone(adjusted_candidate.percent_fee_value)
self.assertEqual(1, len(adjusted_candidate.fixed_fee_collaterals))
fixed_fee_collateral = adjusted_candidate.fixed_fee_collaterals[0]
self.assertEqual(self.quote_asset, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.potential_returns.amount)
def test_adjust_candidate_insufficient_funds_for_flat_fees_third_token(
self):
fee_asset = "FEE"
trade_fee_schema = TradeFeeSchema(
maker_fixed_fees=[TokenAmount(fee_asset, Decimal("11"))], )
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("100"))
exchange.set_balance(fee_asset, Decimal("10"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertTrue(adjusted_candidate.is_zero_order)
def test_adjust_candidate_insufficient_funds_for_flat_fees_and_percent_fees(
self):
trade_fee_schema = TradeFeeSchema(
maker_percent_fee_decimal=Decimal("0.1"),
maker_fixed_fees=[TokenAmount(self.quote_asset, Decimal("1"))],
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("12"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("1"),
adjusted_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("1"),
adjusted_candidate.percent_fee_value.amount)
self.assertEqual(1, len(adjusted_candidate.fixed_fee_collaterals))
fixed_fee_collateral = adjusted_candidate.fixed_fee_collaterals[0]
self.assertEqual(self.quote_asset, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.potential_returns.amount)
def test_adjust_candidate_insufficient_funds_for_flat_fees_and_percent_fees_third_token(
self):
fc_token = "PFC"
trade_fee_schema = TradeFeeSchema(
percent_fee_token=fc_token,
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.01"),
maker_fixed_fees=[TokenAmount(fc_token, Decimal("1"))])
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
pfc_quote_pair = combine_to_hb_trading_pair(self.quote_asset, fc_token)
exchange.set_balanced_order_book( # the quote to pfc price will be 1:2
trading_pair=pfc_quote_pair,
mid_price=1.5,
min_price=1,
max_price=2,
price_step_size=1,
volume_step_size=1,
)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("20"))
exchange.set_balance(
fc_token, Decimal("1.2")
) # 0.2 less than required; will result in 50% order reduction
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.order_collateral.amount)
self.assertEqual(fc_token,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_collateral.amount)
self.assertEqual(fc_token, adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_value.amount)
self.assertEqual(1, len(adjusted_candidate.fixed_fee_collaterals))
fixed_fee_collateral = adjusted_candidate.fixed_fee_collaterals[0]
self.assertEqual(fc_token, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.potential_returns.amount)
def test_adjust_candidate_and_lock_available_collateral(self):
self.exchange.set_balance(self.base_asset, Decimal("10"))
first_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("7"),
price=Decimal("2"),
)
first_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
first_order_candidate, all_or_none=False)
second_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
second_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
second_order_candidate, all_or_none=False)
third_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
third_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
third_order_candidate, all_or_none=False)
self.assertEqual(Decimal("7"), first_adjusted_candidate.amount)
self.assertEqual(Decimal("3"), second_adjusted_candidate.amount)
self.assertEqual(Decimal("3"),
second_adjusted_candidate.order_collateral.amount)
self.assertEqual(Decimal("0"), third_adjusted_candidate.amount)
self.assertIsNone(third_adjusted_candidate.order_collateral)
def test_reset_locked_collateral(self):
self.exchange.set_balance(self.base_asset, Decimal("10"))
first_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("7"),
price=Decimal("2"),
)
first_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
first_order_candidate, all_or_none=False)
self.budget_checker.reset_locked_collateral()
second_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
second_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
second_order_candidate, all_or_none=False)
self.assertEqual(Decimal("7"), first_adjusted_candidate.amount)
self.assertEqual(Decimal("5"), second_adjusted_candidate.amount)
def test_adjust_candidates(self):
self.exchange.set_balance(self.base_asset, Decimal("10"))
first_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("7"),
price=Decimal("2"),
)
second_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
third_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
first_adjusted_candidate, second_adjusted_candidate, third_adjusted_candidate = (
self.budget_checker.adjust_candidates([
first_order_candidate, second_order_candidate,
third_order_candidate
],
all_or_none=False))
self.assertEqual(Decimal("7"), first_adjusted_candidate.amount)
self.assertEqual(Decimal("3"), second_adjusted_candidate.amount)
self.assertEqual(Decimal("3"),
second_adjusted_candidate.order_collateral.amount)
self.assertEqual(Decimal("0"), third_adjusted_candidate.amount)
self.assertIsNone(third_adjusted_candidate.order_collateral)
def test_adjust_candidates_resets_locked_collateral(self):
self.exchange.set_balance(self.base_asset, Decimal("10"))
first_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("7"),
price=Decimal("2"),
)
first_adjusted_candidate, = self.budget_checker.adjust_candidates(
[first_order_candidate], all_or_none=False)
second_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
second_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
second_order_candidate, all_or_none=False)
self.assertEqual(Decimal("7"), first_adjusted_candidate.amount)
self.assertEqual(Decimal("5"), second_adjusted_candidate.amount)