Merge pull request #1865 from c9s/c9s/fix-avg-depth-price

FIX: fix AverageDepthPrice and add test TestPriceVolumeSlice_AverageDepthPrice
c9s · Dec 14, 2024 · 7d94e46 · 7d94e46
2 parents 7ba94db + 6ab2a2b
commit 7d94e46
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Showing 3 changed files with 61 additions and 4 deletions.
diff --git a/pkg/strategy/xdepthmaker/strategy_test.go b/pkg/strategy/xdepthmaker/strategy_test.go
@@ -75,3 +75,49 @@ func TestStrategy_generateMakerOrders(t *testing.T) {
 		{Side: types.SideTypeSell, Price: Number("25300"), Quantity: Number("0.275845")},
 	}, orders)
 }
+
+func TestPriceVolumeSlice_AverageDepthPrice(t *testing.T) {
+	book := types.NewSliceOrderBook("BTCUSDT")
+	book.Update(types.SliceOrderBook{
+		Symbol: "BTCUSDT",
+		Asks: PriceVolumeSliceFromText(`
+			59400,0.5123
+			59402,0.0244
+			59405,0.0413
+			59450,0.02821
+			60000,3
+		`),
+		Bids: PriceVolumeSliceFromText(`
+			59399,0.3441 // = 20,439.1959
+			59398,0.221  // = 13,126.958
+			59395,0.000123 // = 7.305585
+			59390,0.03312 // = 1,966.9968
+			59000,3 // = 177,000
+			// sum = 212,540.456285
+		`),
+		Time:         time.Now(),
+		LastUpdateId: 0,
+	})
+
+	t.Run("test average price by base quantity", func(t *testing.T) {
+		// Test buying 2 BTC
+		buyPrice := book.Asks.AverageDepthPrice(fixedpoint.NewFromFloat(2))
+		assert.InDelta(t, 59818.9699, 0.001, buyPrice.Float64())
+
+		// Test selling 2 BTC
+		sellPrice := book.Bids.AverageDepthPrice(fixedpoint.NewFromFloat(2))
+		assert.InDelta(t, 59119.1096, 0.001, sellPrice.Float64())
+	})
+
+	t.Run("test average price by quote quantity", func(t *testing.T) {
+		// Test buying with ~119637.9398 quote
+		buyPrice := book.Asks.AverageDepthPriceByQuote(fixedpoint.NewFromFloat(119637.9398), 0)
+		assert.InDelta(t, 59899.6009, buyPrice.Float64(), 0.001)
+
+		// Test selling with ~118238.219281 quote
+		sellPrice := book.Bids.AverageDepthPriceByQuote(fixedpoint.NewFromFloat(118238.219281), 0)
+		assert.InDelta(t, 59066.2024, sellPrice.Float64(), 0.001)
+
+		assert.Less(t, sellPrice.Float64(), buyPrice.Float64(), "the sell price should be lower than the buy price")
+	})
+}
diff --git a/pkg/testing/testhelper/pricevolumeslice.go b/pkg/testing/testhelper/pricevolumeslice.go
@@ -12,6 +12,13 @@ func PriceVolumeSliceFromText(str string) (slice types.PriceVolumeSlice) {
 	lines := strings.Split(str, "\n")
 	for _, line := range lines {
 		line = strings.TrimSpace(line)
+
+		// strip comments
+		commentIdx := strings.Index(line, "//")
+		if commentIdx >= 0 {
+			line = line[:commentIdx]
+		}
+
 		if len(line) == 0 {
 			continue
 		}

diff --git a/pkg/types/price_volume_slice.go b/pkg/types/price_volume_slice.go
@@ -265,13 +265,16 @@ func (slice PriceVolumeSlice) AverageDepthPriceByQuote(requiredDepthInQuote fixe
 	totalQuantity := fixedpoint.Zero
 
 	l := len(slice)
-	if maxLevel > 0 && l > maxLevel {
-		l = maxLevel
+	if maxLevel > 0 {
+		l = min(l, maxLevel)
 	}
 
 	for i := 0; i < l; i++ {
 		pv := slice[i]
-		quoteAmount := fixedpoint.Mul(pv.Volume, pv.Price)
+
+		// quoteAmount is the total quote amount of the current price level
+		quoteAmount := pv.Volume.Mul(pv.Price)
+
 		totalQuoteAmount = totalQuoteAmount.Add(quoteAmount)
 		totalQuantity = totalQuantity.Add(pv.Volume)
 
@@ -321,11 +324,12 @@ func (slice PriceVolumeSlice) AverageDepthPrice(requiredQuantity fixedpoint.Valu
 		pv := slice[i]
 		if pv.Volume.Compare(rq) >= 0 {
 			totalAmount = totalAmount.Add(rq.Mul(pv.Price))
+			rq = fixedpoint.Zero
 			break
 		}
 
-		rq = rq.Sub(pv.Volume)
 		totalAmount = totalAmount.Add(pv.Volume.Mul(pv.Price))
+		rq = rq.Sub(pv.Volume)
 	}
 
 	return totalAmount.Div(requiredQuantity.Sub(rq))