first version

2026-06-07 21:01:40 +00:00
parent ee7167accf
commit f19bab1100
79 changed files with 10355 additions and 145 deletions
@@ -0,0 +1,57 @@
+package features
+
+import (
+	"testing"
+	"time"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/domain"
+)
+
+func TestComputeExpectedCostIncludesCommissionAndSlippage(t *testing.T) {
+	var candles []domain.Candle
+	start := time.Date(2026, 1, 1, 0, 0, 0, 0, time.UTC)
+	for i := 0; i < 6; i++ {
+		price := decimal.NewFromInt(int64(100 + i))
+		candles = append(candles, domain.Candle{
+			InstrumentUID: "uid",
+			TradeDate:     start.AddDate(0, 0, i),
+			Open:          price,
+			Close:         price,
+			VolumeLots:    decimal.NewFromInt(1000),
+		})
+	}
+	got, err := Compute(domain.Instrument{
+		InstrumentUID:                "uid",
+		Lot:                          1,
+		ExpectedCommissionBpsPerSide: decimal.NewFromInt(1),
+	}, candles, start.AddDate(0, 0, 5), SpreadResult{SpreadBps: decimal.NewFromInt(10)}, PipelineConfig{
+		RollingShort:           2,
+		RollingLong:            2,
+		EWMALambda:             0.08,
+		RiskBufferBps:          decimal.NewFromInt(5),
+		EntrySlippageBps:       decimal.NewFromInt(2),
+		ExitSlippageBps:        decimal.NewFromInt(3),
+		CommissionRoundtripBps: decimal.NewFromInt(4),
+	}, decimal.NewFromInt(10000), decimal.NewFromInt(9000))
+	if err != nil {
+		t.Fatal(err)
+	}
+	if !got.ExpectedCostBps.Equal(decimal.NewFromInt(26)) {
+		t.Fatalf("expected cost=%s, want 26", got.ExpectedCostBps)
+	}
+	if !got.EntryIntervalVolume.Equal(decimal.NewFromInt(10000)) || !got.ExitIntervalVolume.Equal(decimal.NewFromInt(9000)) {
+		t.Fatalf("interval volumes were not preserved: %+v", got)
+	}
+}
+
+func TestIntervalVolume(t *testing.T) {
+	got := IntervalVolume([]domain.Candle{
+		{Close: decimal.NewFromInt(100), VolumeLots: decimal.NewFromInt(10)},
+		{Close: decimal.NewFromInt(101), VolumeLots: decimal.NewFromInt(20)},
+	}, 2)
+	if !got.Equal(decimal.NewFromInt(6040)) {
+		t.Fatalf("interval volume=%s, want 6040", got)
+	}
+}