bot18
Version:
A high-frequency cryptocurrency trading bot by Zenbot creator @carlos8f
666 lines (562 loc) • 16.7 kB
JavaScript
/* eslint-env mocha */
'use strict'
const assert = require('assert')
const CRC = require('crc-32')
const { OrderBook } = require('../../../lib/models')
describe('OrderBook model', () => {
it('constructor: integrates snapshot', () => {
const entries = [
[],
[]
]
const ob = new OrderBook(entries)
assert.deepEqual(ob.bids, [entries[0]])
assert.deepEqual(ob.asks, [entries[1]])
})
it('topBid/topAsk: returns the top bid/ask, or null', () => {
const ob = new OrderBook([
[],
[],
[],
[],
[],
[],
[],
[]
])
assert.equal(ob.topBid(), 149)
assert.equal(ob.topAsk(), 151)
})
it('topBidLevel/topAskLevel: returns the top bid/ask levels, or null', () => {
const ob = new OrderBook([
[],
[],
[],
[],
[],
[],
[],
[]
])
assert.deepEqual(ob.topBidLevel(), [149, 1, 10])
assert.deepEqual(ob.topAskLevel(), [151, 1, -10])
})
it('checksum: returns expected value for normal OB', () => {
const ob = new OrderBook({
bids: [[6000, 1, 1], [5900, 1, 2]],
asks: [[6100, 1, -3], [6200, 1, -4]]
})
assert.equal(ob.checksum(), CRC.str('6000:1:6100:-3:5900:2:6200:-4'))
})
it('checksum: returns expected value for raw OB', () => {
const ob = new OrderBook({
bids: [[100, 6000, 1], [101, 6000, 2]], // first field is order ID here
asks: [[102, 6100, -3], [103, 6100, -4]]
}, true)
assert.equal(ob.checksum(), CRC.str('100:1:102:-3:101:2:103:-4'))
})
it('checksumArr: returns expected value for normal OB', () => {
const ob = [
[],
[],
[],
[]
]
assert.equal(
OrderBook.checksumArr(ob),
CRC.str('6000:1:6100:-3:5900:2:6200:-4')
)
})
it('checksumArr: returns expected value for raw OB', () => {
const ob = [
[],
[],
[],
[]
]
assert.equal(
OrderBook.checksumArr(ob, true),
CRC.str('100:1:102:-3:101:2:103:-4')
)
})
it('updateWith: correctly applies update', () => {
const entries = [
[],
[]
]
const ob = new OrderBook(entries)
assert(ob.updateWith([100, 3, 15])) // update bid
assert(ob.updateWith([200, 3, -15])) // update ask
assert.deepEqual(ob.bids, [[100, 3, 15]])
assert.deepEqual(ob.asks, [[200, 3, -15]])
assert(ob.updateWith([100, 0, 15])) // remove bid
assert(ob.updateWith([200, 0, -15])) // remove ask
assert.equal(ob.bids.length, 0)
assert.equal(ob.asks.length, 0)
assert(ob.updateWith([150, 1, 2])) // add bid
assert(ob.updateWith([100, 1, 1])) // add bid
assert(ob.updateWith([160, 1, 3])) // add bid
assert(ob.updateWith([161, 1, -3])) // add ask
assert(ob.updateWith([200, 1, -1])) // add ask
assert(ob.updateWith([175, 1, -2])) // add ask
assert.equal(ob.bids.length, 3)
assert.equal(ob.asks.length, 3)
assert.deepEqual(ob.bids, [
[],
[],
[]
])
assert.deepEqual(ob.asks, [
[],
[],
[]
])
assert(ob.updateWith([160, 2, 4])) // update top bid
assert.deepEqual(ob.bids, [
[],
[],
[]
])
assert(ob.updateWith([150, 0, 2])) // remove middle bid
assert.deepEqual(ob.bids, [
[],
[]
])
assert(ob.updateWith([159, 1, 42])) // insert middle bid
assert.deepEqual(ob.bids, [
[],
[],
[]
])
assert(ob.updateWith([159.9, 2, 7])) // insert another bid
assert.deepEqual(ob.bids, [
[],
[],
[],
[]
])
assert.deepEqual(ob.asks, [ // verify asks
[],
[],
[]
])
assert(ob.updateWith([161, 2, -4])) // update top ask
assert.deepEqual(ob.asks, [
[],
[],
[]
])
assert(ob.updateWith([175, 0, -2])) // remove middle ask
assert.deepEqual(ob.asks, [
[],
[]
])
assert(ob.updateWith([175, 1, -42])) // insert middle ask
assert.deepEqual(ob.asks, [
[],
[],
[]
])
assert(ob.updateWith([170, 2, -7])) // insert another ask
assert.deepEqual(ob.asks, [
[],
[],
[],
[]
])
assert.deepEqual(ob.bids, [ // verify bids
[],
[],
[],
[]
])
})
it('updateWith: correctly applies update (raw books)', () => {
let _id = Date.now()
const id = () => _id++
const idBidA = id()
const idBidB = id()
const idBidC = id()
const idBidD = id()
const idBidE = id()
const idBidF = id()
const idAskA = id()
const idAskB = id()
const idAskC = id()
const idAskD = id()
const idAskE = id()
const idAskF = id()
const entries = [
[],
[]
]
const ob = new OrderBook(entries, true)
assert(ob.updateWith([idBidA, 100, 15])) // update bid
assert(ob.updateWith([idAskA, 200, -15])) // update ask
assert.deepEqual(ob.bids, [[idBidA, 100, 15]])
assert.deepEqual(ob.asks, [[idAskA, 200, -15]])
assert(ob.updateWith([idBidA, 0, 15])) // remove bid
assert(ob.updateWith([idAskA, 0, -15])) // remove ask
assert.equal(ob.bids.length, 0)
assert.equal(ob.asks.length, 0)
assert(ob.updateWith([idBidC, 150, 2])) // add bid
assert(ob.updateWith([idBidB, 100, 1])) // add bid
assert(ob.updateWith([idBidD, 160, 3])) // add bid
assert(ob.updateWith([idAskD, 161, -3])) // add ask
assert(ob.updateWith([idAskB, 200, -1])) // add ask
assert(ob.updateWith([idAskC, 175, -2])) // add ask
assert.equal(ob.bids.length, 3)
assert.equal(ob.asks.length, 3)
assert.deepEqual(ob.bids, [
[],
[],
[]
])
assert.deepEqual(ob.asks, [
[],
[],
[]
])
assert(ob.updateWith([idBidD, 160, 4])) // update top bid
assert.deepEqual(ob.bids, [
[],
[],
[]
])
assert(ob.updateWith([idBidC, 0, 2])) // remove middle bid
assert.deepEqual(ob.bids, [
[],
[]
])
assert(ob.updateWith([idBidE, 159, 42])) // insert middle bid
assert.deepEqual(ob.bids, [
[],
[],
[]
])
assert(ob.updateWith([idBidF, 159.9, 7])) // insert another bid
assert.deepEqual(ob.bids, [
[],
[],
[],
[]
])
assert.deepEqual(ob.asks, [ // verify asks
[],
[],
[]
])
assert(ob.updateWith([idAskD, 161, -4])) // update top ask
assert.deepEqual(ob.asks, [
[],
[],
[]
])
assert(ob.updateWith([idAskC, 0, -2])) // remove middle ask
assert.deepEqual(ob.asks, [
[],
[]
])
assert(ob.updateWith([idAskE, 165, -42])) // insert middle ask
assert.deepEqual(ob.asks, [
[],
[],
[]
])
assert(ob.updateWith([idAskF, 162, -7])) // insert another ask
assert.deepEqual(ob.asks, [
[],
[],
[],
[]
])
assert.deepEqual(ob.bids, [ // verify bids
[],
[],
[],
[]
])
})
it('updateWith: maintains sort', () => {
const ob = new OrderBook([
[],
[]
])
assert(ob.updateWith([20, 5, 10]))
assert(ob.updateWith([150, 5, 10]))
assert(ob.updateWith([80, 5, 10]))
assert(ob.updateWith([300, 5, -10]))
assert(ob.updateWith([40, 5, 10]))
assert(ob.updateWith([130, 5, 10]))
assert(ob.updateWith([342, 5, -10]))
assert(ob.updateWith([457, 5, -10]))
for (let i = 0; i < ob.bids.length - 2; i++) {
assert(ob.bids[i][0] > ob.bids[i + 1][0])
}
for (let i = 0; i < ob.asks.length - 2; i++) {
assert(ob.asks[i][0] < ob.asks[i + 1][0])
}
})
it('updateWith: emits an update event', (done) => {
const ob = new OrderBook([
[],
[]
])
ob.on('update', () => {
done()
})
assert(ob.updateWith([20, 5, 10]))
})
it('midPrice: calculates mid price', () => {
const entries = [
[],
[]
]
const ob = new OrderBook(entries)
assert.equal(ob.midPrice(), 150)
})
it('getEntry: returns null for unknown entries', () => {
const entries = [
[],
[]
]
const ob = new OrderBook(entries)
const entry = ob.getEntry(300)
assert.equal(entry, null)
})
it('getEntry: returns entry even with only one OB side', () => {
const entriesA = [[100, 2, 10]]
const entriesB = [[200, 2, -10]]
const obA = new OrderBook(entriesA)
const obB = new OrderBook(entriesB)
assert.deepEqual(obA.getEntry(100), { price: 100, count: 2, amount: 10 })
assert.deepEqual(obB.getEntry(200), { price: 200, count: 2, amount: -10 })
})
it('getEntry: unserializes entry before returning', () => {
const entries = [
[],
[]
]
const ob = new OrderBook(entries)
const entry = ob.getEntry(100)
assert.equal(entry.price, 100)
assert.equal(entry.count, 2)
assert.equal(entry.amount, 10)
})
it('updateArrayOBWith: returns false for unknown entry', () => {
const ob = [
[],
[]
]
assert(!OrderBook.updateArrayOBWith(ob, [300, 0, -1]))
assert(!OrderBook.updateArrayOBWith(ob, [300, 0, 1]))
})
it('updateArrayOBWith: correctly applies update', () => {
const ob = [
[],
[]
]
assert(OrderBook.updateArrayOBWith(ob, [100, 0, 1])) // general manipulation
assert(OrderBook.updateArrayOBWith(ob, [150, 1, 16]))
assert(OrderBook.updateArrayOBWith(ob, [200, 7, -42]))
assert(OrderBook.updateArrayOBWith(ob, [121, 3, 14]))
assert(OrderBook.updateArrayOBWith(ob, [300, 1, -4]))
assert.deepEqual(ob, [
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [130, 1, 10])) // add middle bid
assert.deepEqual(ob, [
[],
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [140, 1, 20])) // add another bid
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [140, 1, 42])) // update the new bid
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [130, 0, 42])) // remove a bid
assert.deepEqual(ob, [
[],
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [250, 1, -10])) // add middle ask
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [220, 1, -20])) // add another ask
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [220, 1, -42])) // update the new ask
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [300, 0, -4])) // remove an ask
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[]
])
})
it('updateArrayOBWith: correctly applies update (raw books)', () => {
let _id = Date.now()
const id = () => _id++
const idBidA = id()
const idBidB = id()
const idBidC = id()
const idAskA = id()
const idAskB = id()
const ob = [
[],
[]
]
assert(OrderBook.updateArrayOBWith(ob, [idBidA, 0, 10], true)) // general manipulation
assert(OrderBook.updateArrayOBWith(ob, [idBidB, 150, 16], true))
assert(OrderBook.updateArrayOBWith(ob, [idAskA, 200, -42], true))
assert(OrderBook.updateArrayOBWith(ob, [idBidC, 121, 14], true))
assert(OrderBook.updateArrayOBWith(ob, [idAskB, 300, -4], true))
assert.deepEqual(ob, [
[],
[],
[],
[]
])
const idBidD = id()
assert(OrderBook.updateArrayOBWith(ob, [idBidD, 130, 10], true)) // add middle bid
assert.deepEqual(ob, [
[],
[],
[],
[],
[]
])
const idBidE = id()
assert(OrderBook.updateArrayOBWith(ob, [idBidE, 140, 20], true)) // add another bid
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [idBidE, 140, 42], true)) // update the new bid
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [idBidD, 0, 42], true)) // remove a bid
assert.deepEqual(ob, [
[],
[],
[],
[],
[]
])
const idAskC = id()
assert(OrderBook.updateArrayOBWith(ob, [idAskC, 250, -10], true)) // add middle ask
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[]
])
const idAskD = id()
assert(OrderBook.updateArrayOBWith(ob, [idAskD, 220, -20], true)) // add another ask
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [idAskD, 220, -42], true)) // update the new ask
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[],
[]
])
assert(OrderBook.updateArrayOBWith(ob, [idAskB, 0, -4], true)) // remove an ask
assert.deepEqual(ob, [
[],
[],
[],
[],
[],
[]
])
})
it('unserialize: returns bid/asks map for snapshots', () => {
const obData = [
[],
[]
]
const ob = OrderBook.unserialize(obData)
assert.equal(typeof ob, 'object')
assert.equal(Object.keys(ob).length, 2)
assert.deepEqual(ob.bids, [{ price: 100, count: 2, amount: 10 }])
assert.deepEqual(ob.asks, [{ price: 200, count: 2, amount: -10 }])
})
it('unserialiez: returns map for entries', () => {
const entry = OrderBook.unserialize([150, 0, -1])
assert.deepEqual(entry, {
price: 150,
count: 0,
amount: -1
})
})
})