gdax-sim/test/OrderGeneratorTest.js

Simulator used to help unit test and back test various Coinbase-Pro (gdax) interactions.

const orderGenerator = require("../Lib/OrderGenerator");
const assert = require("assert");
const crypto = require("crypto");
const ApiSim = require("../Lib/ApiSim");

const buyParams = {
  price: 25.0,
  size: 0.1,
  product_id: "LTC-USD",
  side: "buy",
};

const sellParams = {
  price: 38.0,
  size: 0.1,
  product_id: "LTC-USD",
  side: "sell",
};

const marketSellParams = {
  size: 0.1,
  product_id: "LTC-USD",
  side: "sell",
  type: "market",
};

const marKetBuyParamsWithFunds = {
  funds: 200,
  product_id: "LTC-USD",
  side: "buy",
  type: "market",
};

class testSim {
  constructor() {
    this.currentTime = new Date().toISOString();
    this.taker_fee = 0.005;
    this.user = {
      cryptoBalance: 2,
    };
  }
  make(p, s) {
    return orderGenerator.call(this, p, s);
  }
}
let og = new testSim();

describe("#OrderGenerator", () => {
  it("properly fills out limit buy orders", () => {
    let o = og.make(buyParams);
    assert.deepStrictEqual(o, {
      id: crypto
        .createHash("sha1")
        .update(JSON.stringify(buyParams))
        .digest("hex"),
      price: buyParams.price.toString(),
      size: buyParams.size.toString(),
      product_id: buyParams.product_id,
      side: "buy",
      stp: "dc",
      type: "limit",
      time_in_force: "GTC",
      post_only: false,
      created_at: og.currentTime,
      fill_fees: "0.0000000000000000",
      filled_size: "0.00000000",
      executed_value: "0.0000000000000000",
      status: "pending",
      settled: false,
    });
  });

  it("properly fills out limit sell orders", () => {
    let o = og.make(sellParams);
    assert.deepStrictEqual(o, {
      id: crypto
        .createHash("sha1")
        .update(JSON.stringify(sellParams))
        .digest("hex"),
      price: sellParams.price.toString(),
      size: sellParams.size.toString(),
      product_id: sellParams.product_id,
      side: "sell",
      stp: "dc",
      type: "limit",
      time_in_force: "GTC",
      post_only: false,
      created_at: og.currentTime,
      fill_fees: "0.0000000000000000",
      filled_size: "0.00000000",
      executed_value: "0.0000000000000000",
      status: "pending",
      settled: false,
    });
  });

  it("properly fills out market sell orders", () => {
    let o = og.make(marketSellParams);
    assert.deepStrictEqual(o, {
      id: crypto
        .createHash("sha1")
        .update(JSON.stringify(marketSellParams))
        .digest("hex"),
      size: sellParams.size.toString(),
      product_id: sellParams.product_id,
      side: "sell",
      stp: "dc",
      type: "market",
      post_only: false,
      created_at: og.currentTime,
      fill_fees: "0.0000000000000000",
      filled_size: "0.00000000",
      executed_value: "0.0000000000000000",
      status: "pending",
      settled: false,
    });
  });

  it("properly fills out market buy orders for market orders with funds", () => {
    let o = og.make(marKetBuyParamsWithFunds);
    assert.deepStrictEqual(o, {
      id: crypto
        .createHash("sha1")
        .update(JSON.stringify(marKetBuyParamsWithFunds))
        .digest("hex"),
      product_id: sellParams.product_id,
      side: "buy",
      stp: "dc",
      specified_funds: marKetBuyParamsWithFunds.funds.toString(),
      funds: (marKetBuyParamsWithFunds.funds * 0.995).toString(),
      type: "market",
      post_only: false,
      created_at: og.currentTime,
      fill_fees: "0.0000000000000000",
      filled_size: "0.00000000",
      executed_value: "0.0000000000000000",
      status: "pending",
      settled: false,
    });
  });
});