valentineus/overnight-trading-bot
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second version

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This commit is contained in:
Valentin Popov
2026-06-07 21:51:20 +00:00
parent 8e2d7efc32
commit 282c841e11
23 changed files with 869 additions and 151 deletions
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internal/features/pipeline_test.go
+26
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@@ -7,6 +7,7 @@ import (
"github.com/shopspring/decimal"
"overnight-trading-bot/internal/domain"
"overnight-trading-bot/internal/timeutil"
)
func TestComputeExpectedCostIncludesCommissionAndSlippage(t *testing.T) {
@@ -55,3 +56,28 @@ func TestIntervalVolume(t *testing.T) {
t.Fatalf("interval volume=%s, want 6040", got)
}
}
func TestAverageIntervalVolumeUsesExecutionWindowsAcrossDays(t *testing.T) {
loc := time.FixedZone("MSK", 3*60*60)
window := timeutil.Window{
Start: mustTOD("18:20:00"),
End: mustTOD("18:40:00"),
}
candles := []domain.Candle{
{TradeDate: time.Date(2026, 6, 1, 15, 20, 0, 0, time.UTC), Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
{TradeDate: time.Date(2026, 6, 1, 15, 50, 0, 0, time.UTC), Close: decimal.NewFromInt(999), VolumeLots: decimal.NewFromInt(999)},
{TradeDate: time.Date(2026, 6, 2, 15, 25, 0, 0, time.UTC), Close: decimal.NewFromInt(200), VolumeLots: decimal.NewFromInt(10)},
}
got := AverageIntervalVolume(candles, 1, window, loc)
if !got.Equal(decimal.NewFromInt(1500)) {
t.Fatalf("average interval volume=%s, want 1500", got)
}
}
func mustTOD(raw string) timeutil.TimeOfDay {
tod, err := timeutil.ParseTimeOfDay(raw)
if err != nil {
panic(err)
}
return tod
}