mirror of
https://github.com/NoFxAiOS/nofx.git
synced 2026-07-17 01:14:40 +08:00
feat: add multi-exchange order sync and position tracking
- Add order sync implementations for Hyperliquid, Bybit, OKX, Bitget, Aster - Add position snapshot functionality for exchange position reset - Update TraderOrder and TraderFill structures with exchange_type field - Add exchange sync tests - Update frontend charts components - Remove deprecated position_sync.go
This commit is contained in:
tinkle-community
337
trader/exchange_sync_test.go
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337
trader/exchange_sync_test.go
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package trader
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import (
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"database/sql"
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"nofx/store"
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"testing"
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"time"
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_ "github.com/mattn/go-sqlite3"
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)
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// TestScenario represents a trading scenario to test
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type TestScenario struct {
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Name string
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Trades []TestTrade
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ExpectedPos []ExpectedPosition
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}
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// TestTrade represents a single trade in a test scenario
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type TestTrade struct {
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Action string // open_long, close_short, etc.
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Side string // LONG or SHORT
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Symbol string
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Quantity float64
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Price float64
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Fee float64
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RealizedPnL float64
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}
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// ExpectedPosition represents expected position state
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type ExpectedPosition struct {
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Symbol string
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Side string
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Quantity float64
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Status string // OPEN or CLOSED
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}
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// Standard test scenarios that all exchanges should pass
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func getStandardTestScenarios() []TestScenario {
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return []TestScenario{
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{
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Name: "Simple Open and Close Long",
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Trades: []TestTrade{
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{Action: "open_long", Side: "LONG", Symbol: "ETHUSDT", Quantity: 0.1, Price: 3500, Fee: 0.5, RealizedPnL: 0},
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{Action: "close_long", Side: "LONG", Symbol: "ETHUSDT", Quantity: 0.1, Price: 3600, Fee: 0.5, RealizedPnL: 10},
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},
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ExpectedPos: []ExpectedPosition{}, // Should be fully closed
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},
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{
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Name: "Simple Open and Close Short",
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Trades: []TestTrade{
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{Action: "open_short", Side: "SHORT", Symbol: "ETHUSDT", Quantity: 0.1, Price: 3500, Fee: 0.5, RealizedPnL: 0},
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{Action: "close_short", Side: "SHORT", Symbol: "ETHUSDT", Quantity: 0.1, Price: 3400, Fee: 0.5, RealizedPnL: 10},
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},
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ExpectedPos: []ExpectedPosition{},
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},
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{
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Name: "Position Averaging",
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Trades: []TestTrade{
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{Action: "open_long", Side: "LONG", Symbol: "BTCUSDT", Quantity: 0.01, Price: 50000, Fee: 1.0, RealizedPnL: 0},
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{Action: "open_long", Side: "LONG", Symbol: "BTCUSDT", Quantity: 0.01, Price: 51000, Fee: 1.0, RealizedPnL: 0},
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{Action: "close_long", Side: "LONG", Symbol: "BTCUSDT", Quantity: 0.02, Price: 52000, Fee: 2.0, RealizedPnL: 30},
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},
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ExpectedPos: []ExpectedPosition{},
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},
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{
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Name: "Partial Close",
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Trades: []TestTrade{
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{Action: "open_long", Side: "LONG", Symbol: "SOLUSDT", Quantity: 10, Price: 100, Fee: 2.0, RealizedPnL: 0},
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{Action: "close_long", Side: "LONG", Symbol: "SOLUSDT", Quantity: 3, Price: 105, Fee: 0.6, RealizedPnL: 15},
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},
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ExpectedPos: []ExpectedPosition{
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{Symbol: "SOLUSDT", Side: "LONG", Quantity: 7, Status: "OPEN"},
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},
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},
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{
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Name: "Multiple Symbols",
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Trades: []TestTrade{
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{Action: "open_long", Side: "LONG", Symbol: "ETHUSDT", Quantity: 0.1, Price: 3500, Fee: 0.5, RealizedPnL: 0},
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{Action: "open_short", Side: "SHORT", Symbol: "BTCUSDT", Quantity: 0.01, Price: 50000, Fee: 1.0, RealizedPnL: 0},
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{Action: "close_long", Side: "LONG", Symbol: "ETHUSDT", Quantity: 0.1, Price: 3600, Fee: 0.5, RealizedPnL: 10},
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},
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ExpectedPos: []ExpectedPosition{
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{Symbol: "BTCUSDT", Side: "SHORT", Quantity: 0.01, Status: "OPEN"},
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},
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},
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{
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Name: "Bug Scenario - Short then BUY to Close",
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Trades: []TestTrade{
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// This tests the exact bug we fixed
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{Action: "open_short", Side: "SHORT", Symbol: "ETHUSDT", Quantity: 0.0472, Price: 3500, Fee: 0.2, RealizedPnL: 0},
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{Action: "close_short", Side: "SHORT", Symbol: "ETHUSDT", Quantity: 0.0472, Price: 3400, Fee: 0.2, RealizedPnL: 4.72},
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},
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ExpectedPos: []ExpectedPosition{}, // Must be fully closed!
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},
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{
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Name: "Multiple Opens and Closes",
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Trades: []TestTrade{
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{Action: "open_long", Side: "LONG", Symbol: "ETHUSDT", Quantity: 0.1, Price: 3500, Fee: 0.5, RealizedPnL: 0},
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{Action: "close_long", Side: "LONG", Symbol: "ETHUSDT", Quantity: 0.1, Price: 3600, Fee: 0.5, RealizedPnL: 10},
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{Action: "open_short", Side: "SHORT", Symbol: "ETHUSDT", Quantity: 0.05, Price: 3600, Fee: 0.3, RealizedPnL: 0},
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{Action: "close_short", Side: "SHORT", Symbol: "ETHUSDT", Quantity: 0.05, Price: 3500, Fee: 0.3, RealizedPnL: 5},
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{Action: "open_long", Side: "LONG", Symbol: "ETHUSDT", Quantity: 0.2, Price: 3550, Fee: 1.0, RealizedPnL: 0},
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},
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ExpectedPos: []ExpectedPosition{
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{Symbol: "ETHUSDT", Side: "LONG", Quantity: 0.2, Status: "OPEN"},
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},
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},
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}
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}
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// runStandardTests runs all standard test scenarios
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func runStandardTests(t *testing.T, exchangeName string) {
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scenarios := getStandardTestScenarios()
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for _, scenario := range scenarios {
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t.Run(scenario.Name, func(t *testing.T) {
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// Setup database
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db, err := sql.Open("sqlite3", ":memory:")
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if err != nil {
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t.Fatalf("Failed to create test database: %v", err)
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}
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defer db.Close()
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positionStore := store.NewPositionStore(db)
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if err := positionStore.InitTables(); err != nil {
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t.Fatalf("Failed to initialize position tables: %v", err)
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}
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posBuilder := store.NewPositionBuilder(positionStore)
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traderID := "test-trader"
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exchangeID := "test-exchange-" + exchangeName
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exchangeType := exchangeName
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// Process all trades
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for i, trade := range scenario.Trades {
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err := posBuilder.ProcessTrade(
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traderID, exchangeID, exchangeType,
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trade.Symbol, trade.Side, trade.Action,
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trade.Quantity, trade.Price, trade.Fee, trade.RealizedPnL,
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time.Now().Add(time.Duration(i)*time.Second),
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"",
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)
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if err != nil {
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t.Fatalf("Failed to process trade %d (%s): %v", i, trade.Action, err)
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}
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}
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// Verify expected positions
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positions, err := positionStore.GetOpenPositions(traderID)
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if err != nil {
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t.Fatalf("Failed to get positions: %v", err)
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}
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if len(positions) != len(scenario.ExpectedPos) {
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t.Errorf("Expected %d open positions, got %d", len(scenario.ExpectedPos), len(positions))
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for _, p := range positions {
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t.Errorf(" Got: %s %s qty=%.4f status=%s", p.Symbol, p.Side, p.Quantity, p.Status)
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}
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return
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}
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// Verify each expected position
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for _, expected := range scenario.ExpectedPos {
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found := false
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for _, actual := range positions {
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if actual.Symbol == expected.Symbol && actual.Side == expected.Side {
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found = true
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if actual.Quantity != expected.Quantity {
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t.Errorf("Position %s %s: expected qty %.4f, got %.4f",
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expected.Symbol, expected.Side, expected.Quantity, actual.Quantity)
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}
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if actual.Status != expected.Status {
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t.Errorf("Position %s %s: expected status %s, got %s",
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expected.Symbol, expected.Side, expected.Status, actual.Status)
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}
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break
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}
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}
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if !found {
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t.Errorf("Expected position not found: %s %s", expected.Symbol, expected.Side)
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}
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}
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})
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}
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}
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// TestAllExchangesStandardScenarios runs standard scenarios for all exchanges
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func TestAllExchangesStandardScenarios(t *testing.T) {
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exchanges := []string{"hyperliquid", "binance", "bybit", "okx", "bitget", "aster", "lighter"}
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for _, exchange := range exchanges {
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t.Run(exchange, func(t *testing.T) {
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runStandardTests(t, exchange)
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})
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}
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}
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// TestPositionAccumulationBug tests that positions don't accumulate incorrectly
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func TestPositionAccumulationBug(t *testing.T) {
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db, err := sql.Open("sqlite3", ":memory:")
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if err != nil {
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t.Fatalf("Failed to create test database: %v", err)
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}
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defer db.Close()
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positionStore := store.NewPositionStore(db)
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if err := positionStore.InitTables(); err != nil {
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t.Fatalf("Failed to initialize position tables: %v", err)
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}
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posBuilder := store.NewPositionBuilder(positionStore)
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traderID := "test-trader"
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exchangeID := "test-exchange"
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exchangeType := "hyperliquid"
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// Simulate many trades that should cancel out
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// This tests that we don't accumulate positions incorrectly
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for i := 0; i < 10; i++ {
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// Open Long
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err := posBuilder.ProcessTrade(
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traderID, exchangeID, exchangeType,
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"ETHUSDT", "LONG", "open_long",
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0.1, 3500+float64(i*10), 0.5, 0,
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time.Now().Add(time.Duration(i*2)*time.Second),
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"",
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)
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if err != nil {
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t.Fatalf("Failed to open long %d: %v", i, err)
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}
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// Close Long
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err = posBuilder.ProcessTrade(
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traderID, exchangeID, exchangeType,
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"ETHUSDT", "LONG", "close_long",
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0.1, 3600+float64(i*10), 0.5, 10,
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time.Now().Add(time.Duration(i*2+1)*time.Second),
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"",
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)
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if err != nil {
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t.Fatalf("Failed to close long %d: %v", i, err)
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}
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}
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// Should have 0 open positions
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positions, err := positionStore.GetOpenPositions(traderID)
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if err != nil {
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t.Fatalf("Failed to get positions: %v", err)
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}
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if len(positions) != 0 {
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t.Errorf("Expected 0 positions after 10 open/close cycles, got %d", len(positions))
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for _, p := range positions {
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t.Errorf(" Unexpected: %s %s qty=%.4f", p.Symbol, p.Side, p.Quantity)
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}
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}
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// Should have 10 closed positions with positive PnL
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allPositions, err := positionStore.GetClosedPositions(traderID, 100)
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if err != nil {
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t.Fatalf("Failed to get closed positions: %v", err)
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}
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closedCount := 0
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totalPnL := 0.0
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for _, p := range allPositions {
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if p.Status == "CLOSED" {
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closedCount++
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totalPnL += p.RealizedPnL
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}
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}
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if closedCount != 10 {
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t.Errorf("Expected 10 closed positions, got %d", closedCount)
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}
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if totalPnL <= 0 {
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t.Errorf("Expected positive total PnL, got %.2f", totalPnL)
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}
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}
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// TestQuantityPrecision tests handling of quantity precision issues
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func TestQuantityPrecision(t *testing.T) {
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db, err := sql.Open("sqlite3", ":memory:")
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if err != nil {
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t.Fatalf("Failed to create test database: %v", err)
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}
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defer db.Close()
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positionStore := store.NewPositionStore(db)
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if err := positionStore.InitTables(); err != nil {
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t.Fatalf("Failed to initialize position tables: %v", err)
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}
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posBuilder := store.NewPositionBuilder(positionStore)
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traderID := "test-trader"
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exchangeID := "test-exchange"
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exchangeType := "test"
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// Open position
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err = posBuilder.ProcessTrade(
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traderID, exchangeID, exchangeType,
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"BTCUSDT", "LONG", "open_long",
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0.01, 50000, 1.0, 0,
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time.Now(),
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"",
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)
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if err != nil {
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t.Fatalf("Failed to open: %v", err)
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}
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// Close with slightly different quantity due to precision (0.00999999 vs 0.01)
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// Should still close fully within tolerance
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err = posBuilder.ProcessTrade(
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traderID, exchangeID, exchangeType,
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"BTCUSDT", "LONG", "close_long",
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0.00999999, 51000, 1.0, 10,
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time.Now().Add(time.Second),
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"",
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)
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if err != nil {
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t.Fatalf("Failed to close: %v", err)
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}
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// Should have 0 open positions (within tolerance)
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positions, err := positionStore.GetOpenPositions(traderID)
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if err != nil {
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t.Fatalf("Failed to get positions: %v", err)
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}
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if len(positions) != 0 {
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t.Errorf("Expected 0 positions (precision tolerance), got %d", len(positions))
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}
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}
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