func TestCalculateNeededArb(t *testing.T) {
// Test without FX
neededArbTests := []neededArb{
{500, -500, .02},
{-500, 500, -.01},
{500, 500, .005},
{-100, -100, .005},
{0, 0, .005},
{-250, 250, -.0025},
{250, -250, .0125},
{100, -100, .008},
{0, -200, .008},
{-200, 0, .002},
{-100, 100, .002},
}
buyExg := okcoin.New("", "", "", "usd", 1, 0.002, 500, 0)
buyExg.SetMaxPos(500)
sellExg := bitfinex.New("", "", "", "usd", 2, 0.001, 500, 0)
sellExg.SetMaxPos(500)
for _, neededArb := range neededArbTests {
buyExg.SetPosition(neededArb.buyExgPos)
sellExg.SetPosition(neededArb.sellExgPos)
arb := calcNeededArb(buyExg, sellExg)
if math.Abs(arb-neededArb.arb) > .000001 {
t.Errorf("For %.4f / %.4f expect %.4f, got %.4f\n", buyExg.Position(), sellExg.Position(), neededArb.arb, arb)
}
}
// Test with FX
neededArbTests = []neededArb{
{500, -500, .03},
{-500, 500, 0},
{500, 500, .015},
{-100, -100, .015},
{0, 0, .015},
{-250, 250, .0075},
{250, -250, .0225},
{100, -100, .018},
{0, -200, .018},
{-200, 0, .012},
{-100, 100, .012},
}
buyExg = okcoin.New("", "", "", "cny", 1, 0.002, 500, 0)
buyExg.SetMaxPos(500)
sellExg = bitfinex.New("", "", "", "usd", 2, 0.001, 500, 0)
sellExg.SetMaxPos(500)
for _, neededArb := range neededArbTests {
buyExg.SetPosition(neededArb.buyExgPos)
sellExg.SetPosition(neededArb.sellExgPos)
arb := calcNeededArb(buyExg, sellExg)
if math.Abs(arb-neededArb.arb) > .000001 {
t.Errorf("For %.4f / %.4f expect %.4f, got %.4f\n", buyExg.Position(), sellExg.Position(), neededArb.arb, arb)
}
}
}
// Initialize exchanges
func setExchanges() {
exchanges = []exchange.Interface{
bitfinex.New(os.Getenv("BITFINEX_KEY"), os.Getenv("BITFINEX_SECRET"), cfg.Sec.Symbol, "usd", 1, 0.001, cfg.Sec.AvailShortBitfinex, cfg.Sec.AvailFundsBitfinex),
okcoin.New(os.Getenv("OKUSD_KEY"), os.Getenv("OKUSD_SECRET"), cfg.Sec.Symbol, "usd", 1, 0.002, cfg.Sec.AvailShortOKusd, cfg.Sec.AvailFundsOKusd),
okcoin.New(os.Getenv("OKCNY_KEY"), os.Getenv("OKCNY_SECRET"), cfg.Sec.Symbol, "cny", 1, 0.000, cfg.Sec.AvailShortOKcny, cfg.Sec.AvailFundsOKcny),
btcchina.New(os.Getenv("BTC_KEY"), os.Getenv("BTC_SECRET"), cfg.Sec.Symbol, "cny", 1, 0.000, cfg.Sec.AvailShortBTC, cfg.Sec.AvailFundsBTC),
}
for _, exg := range exchanges {
log.Printf("Using exchange %s with priority %d and fee of %.4f", exg, exg.Priority(), exg.Fee())
}
currencies = append(currencies, "cny")
}
func TestFindBestAsk(t *testing.T) {
markets := make(map[exchange.Interface]filteredBook)
exg1 := okcoin.New("", "", "", "usd", 1, 0.002, 500, 0)
exg1.SetMaxPos(500)
exg2 := okcoin.New("", "", "", "usd", 1, 0.002, 500, 0)
exg2.SetMaxPos(500)
exg3 := okcoin.New("", "", "", "usd", 1, 0.002, 500, 0)
exg2.SetMaxPos(500)
markets[exg1] = filteredBook{ask: market{adjPrice: 1.98, amount: 500}}
markets[exg2] = filteredBook{ask: market{adjPrice: 1.99}}
markets[exg3] = filteredBook{ask: market{adjPrice: 2.00}}
if math.Abs(findBestAsk(markets).adjPrice-1.98) > .000001 {
t.Error("Returned wrong best ask")
}
exg1.SetPosition(490)
if math.Abs(findBestAsk(markets).adjPrice-1.99) > .000001 {
t.Error("Returned wrong best ask after position update")
}
exg1.SetPosition(250)
if math.Abs(findBestAsk(markets).amount-250) > .000001 {
t.Error("Returned wrong best ask after position update")
}
}
// Tester program for displaying OKCoin book data to terminal
package main
import (
"bitfx/exchange"
"bitfx/forex"
"bitfx/okcoin"
"fmt"
"log"
"os"
"os/exec"
)
var (
ok = okcoin.New("", "", "ltc", "cny", 0, 0, 0, 0)
cny float64
)
func main() {
filename := "okbook.log"
logFile, err := os.OpenFile(filename, os.O_CREATE|os.O_WRONLY|os.O_APPEND, 0666)
if err != nil {
log.Fatal(err)
}
log.SetOutput(logFile)
log.Println("Starting new run")
fxChan := make(chan forex.Quote)
fxDoneChan := make(chan bool, 1)
quote := forex.CommunicateFX("cny", fxChan, fxDoneChan)
if quote.Error != nil || quote.Price == 0 {
func TestFilterBook(t *testing.T) {
testBook := exchange.Book{
Exg: okcoin.New("", "", "", "usd", 1, 0.002, 500, 0),
Bids: exchange.BidItems{
0: {Price: 1.90, Amount: 10},
1: {Price: 1.80, Amount: 10},
2: {Price: 1.70, Amount: 100},
},
Asks: exchange.AskItems{
0: {Price: 2.10, Amount: 10},
1: {Price: 2.20, Amount: 20},
2: {Price: 2.30, Amount: 10},
},
}
testBook.Exg.SetMaxPos(500)
market := filterBook(testBook, 1)
if math.Abs(market.bid.orderPrice-1.70) > .000001 {
t.Errorf("Wrong bid order price")
}
if math.Abs(market.bid.amount-50) > .000001 {
t.Errorf("Wrong bid amount")
}
adjPrice := ((1.90*10 + 1.80*10 + 1.70*30) / 50) * (1 - .002)
if math.Abs(market.bid.adjPrice-adjPrice) > .000001 {
t.Errorf("Wrong bid adjusted price")
}
if math.Abs(market.ask.orderPrice-2.20) > .000001 {
t.Errorf("Wrong ask order price")
}
if math.Abs(market.ask.amount-30) > .000001 {
t.Errorf("Wrong ask amount")
}
adjPrice = ((2.10*10 + 2.20*20) / 30) * (1 + .002)
if math.Abs(market.ask.adjPrice-adjPrice) > .000001 {
t.Errorf("Wrong ask adjusted price")
}
// Same test but with FX adjustment
fxPrice := 2.0
market = filterBook(testBook, fxPrice)
if math.Abs(market.bid.orderPrice-1.70) > .000001 {
t.Errorf("Wrong bid order price")
}
if math.Abs(market.bid.amount-50) > .000001 {
t.Errorf("Wrong bid amount")
}
adjPrice = ((1.90*10 + 1.80*10 + 1.70*30) / 50) * (1 - .002) / fxPrice
if math.Abs(market.bid.adjPrice-adjPrice) > .000001 {
t.Errorf("Wrong bid adjusted price")
}
if math.Abs(market.ask.orderPrice-2.20) > .000001 {
t.Errorf("Wrong ask order price")
}
if math.Abs(market.ask.amount-30) > .000001 {
t.Errorf("Wrong ask amount")
}
adjPrice = ((2.10*10 + 2.20*20) / 30) * (1 + .002) / fxPrice
if math.Abs(market.ask.adjPrice-adjPrice) > .000001 {
t.Errorf("Wrong ask adjusted price")
}
testBook = exchange.Book{
Exg: okcoin.New("", "", "", "usd", 2, 0.002, 500, 0),
Bids: exchange.BidItems{
0: {Price: 1.90, Amount: 30},
1: {Price: 1.80, Amount: 10},
2: {Price: 1.70, Amount: 100},
},
Asks: exchange.AskItems{
0: {Price: 2.10, Amount: 100},
1: {Price: 2.20, Amount: 20},
2: {Price: 2.30, Amount: 10},
},
}
testBook.Exg.SetMaxPos(500)
market = filterBook(testBook, 1)
if math.Abs(market.bid.orderPrice-1.90) > .000001 {
t.Errorf("Wrong bid order price")
}
if math.Abs(market.bid.amount-30) > .000001 {
t.Errorf("Wrong bid amount")
}
adjPrice = 1.90 * (1 - .002)
if math.Abs(market.bid.adjPrice-adjPrice) > .000001 {
t.Errorf("Wrong bid adjusted price")
}
if math.Abs(market.ask.orderPrice-2.10) > .000001 {
t.Errorf("Wrong ask order price")
}
if math.Abs(market.ask.amount-50) > .000001 {
t.Errorf("Wrong ask amount")
}
adjPrice = 2.10 * (1 + .002)
if math.Abs(market.ask.adjPrice-adjPrice) > .000001 {
t.Errorf("Wrong ask adjusted price")
}
// Same test as above, but wiht FX adjustment
fxPrice = 3.0
market = filterBook(testBook, fxPrice)
if math.Abs(market.bid.orderPrice-1.90) > .000001 {
t.Errorf("Wrong bid order price")
}
if math.Abs(market.bid.amount-30) > .000001 {
t.Errorf("Wrong bid amount")
}
adjPrice = 1.90 * (1 - .002) / fxPrice
if math.Abs(market.bid.adjPrice-adjPrice) > .000001 {
t.Errorf("Wrong bid adjusted price")
}
if math.Abs(market.ask.orderPrice-2.10) > .000001 {
t.Errorf("Wrong ask order price")
}
if math.Abs(market.ask.amount-50) > .000001 {
t.Errorf("Wrong ask amount")
}
adjPrice = 2.10 * (1 + .002) / fxPrice
if math.Abs(market.ask.adjPrice-adjPrice) > .000001 {
t.Errorf("Wrong ask adjusted price")
}
}
func TestFindBestArb(t *testing.T) {
// No opportunity
markets := make(map[exchange.Interface]filteredBook)
exg1 := okcoin.New("", "", "", "usd", 1, 0.002, 500, 0)
exg1.SetMaxPos(500)
exg2 := okcoin.New("", "", "", "usd", 1, 0.002, 500, 0)
exg2.SetMaxPos(500)
exg3 := okcoin.New("", "", "", "usd", 1, 0.002, 500, 0)
exg3.SetMaxPos(500)
markets[exg1] = filteredBook{
bid: market{adjPrice: 1.98, amount: 50, exg: exg1},
ask: market{adjPrice: 2.00, amount: 50, exg: exg1},
}
markets[exg2] = filteredBook{
bid: market{adjPrice: 1.99, amount: 50, exg: exg2},
ask: market{adjPrice: 2.01, amount: 50, exg: exg2},
}
markets[exg3] = filteredBook{
bid: market{adjPrice: 2.00, amount: 50, exg: exg3},
ask: market{adjPrice: 2.02, amount: 50, exg: exg3},
}
if _, _, exists := findBestArb(markets); exists {
t.Errorf("Should be no arb opportunity")
}
// Change positions to create an exit opportunity
exg1.SetPosition(-500)
exg3.SetPosition(500)
bestBid, bestAsk, exists := findBestArb(markets)
if !exists || bestBid.exg != exg3 || bestAsk.exg != exg1 {
t.Errorf("Should be an exit opportunity after position update")
}
exg1.SetPosition(0)
exg3.SetPosition(0)
// Create an arb opportunity
markets[exg1] = filteredBook{
bid: market{adjPrice: 2.03, amount: 50, exg: exg1},
ask: market{adjPrice: 2.04, amount: 50, exg: exg1},
}
markets[exg2] = filteredBook{
bid: market{adjPrice: 2.04, amount: 50, exg: exg2},
ask: market{adjPrice: 2.05, amount: 50, exg: exg2},
}
markets[exg3] = filteredBook{
bid: market{adjPrice: 1.99, amount: 50, exg: exg3},
ask: market{adjPrice: 2.00, amount: 50, exg: exg3},
}
bestBid, bestAsk, exists = findBestArb(markets)
if !exists || bestBid.exg != exg2 || bestAsk.exg != exg3 {
t.Errorf("Should be an arb opportunity")
}
// Set exg3 postion to only allow for 30 more
exg3.SetPosition(470)
_, bestAsk, _ = findBestArb(markets)
if math.Abs(bestAsk.amount-30) > .000001 {
t.Errorf("Should be a decrease in best ask amount")
}
// Change exg3 postion
exg2.SetPosition(-500)
bestBid, _, _ = findBestArb(markets)
if bestBid.exg != exg1 {
t.Errorf("Best bid exchange should have changed")
}
}