first version

internal/money/money.go

@@ -0,0 +1,117 @@
+package money
+
+import (
+	"errors"
+
+	"github.com/shopspring/decimal"
+
+	pb "github.com/russianinvestments/invest-api-go-sdk/proto"
+)
+
+var (
+	ErrInvalidTick = errors.New("tick must be positive")
+	ErrInvalidBase = errors.New("base must be positive")
+)
+
+type RoundMode int
+
+const (
+	RoundNearest RoundMode = iota
+	RoundFloor
+	RoundCeil
+)
+
+func QuotationToDecimal(q *pb.Quotation) decimal.Decimal {
+	if q == nil {
+		return decimal.Zero
+	}
+	return decimal.NewFromInt(q.GetUnits()).Add(decimal.New(int64(q.GetNano()), -9))
+}
+
+func DecimalToQuotation(d decimal.Decimal) *pb.Quotation {
+	units := d.Truncate(0)
+	nano := d.Sub(units).Mul(decimal.NewFromInt(1_000_000_000)).Round(0)
+	if nano.Equal(decimal.NewFromInt(1_000_000_000)) {
+		units = units.Add(decimal.NewFromInt(1))
+		nano = decimal.Zero
+	}
+	if nano.Equal(decimal.NewFromInt(-1_000_000_000)) {
+		units = units.Sub(decimal.NewFromInt(1))
+		nano = decimal.Zero
+	}
+	nanoPart := nano.IntPart()
+	if nanoPart < -999_999_999 || nanoPart > 999_999_999 {
+		panic("decimal quotation nano is out of protobuf range")
+	}
+	return &pb.Quotation{
+		Units: units.IntPart(),
+		Nano:  int32(nanoPart), // #nosec G115 -- nanoPart is bounded above.
+	}
+}
+
+func MoneyValueToDecimal(v *pb.MoneyValue) decimal.Decimal {
+	if v == nil {
+		return decimal.Zero
+	}
+	return decimal.NewFromInt(v.GetUnits()).Add(decimal.New(int64(v.GetNano()), -9))
+}
+
+func Bps(part, base decimal.Decimal) (decimal.Decimal, error) {
+	if !base.IsPositive() {
+		return decimal.Zero, ErrInvalidBase
+	}
+	return part.Div(base).Mul(decimal.NewFromInt(10_000)), nil
+}
+
+func FromBps(bps decimal.Decimal) decimal.Decimal {
+	return bps.Div(decimal.NewFromInt(10_000))
+}
+
+func RoundToTick(price, tick decimal.Decimal, mode RoundMode) (decimal.Decimal, error) {
+	if !tick.IsPositive() {
+		return decimal.Zero, ErrInvalidTick
+	}
+	steps := price.Div(tick)
+	switch mode {
+	case RoundFloor:
+		steps = steps.Floor()
+	case RoundCeil:
+		steps = steps.Ceil()
+	default:
+		steps = steps.Round(0)
+	}
+	return steps.Mul(tick), nil
+}
+
+func Min(values ...decimal.Decimal) decimal.Decimal {
+	if len(values) == 0 {
+		return decimal.Zero
+	}
+	min := values[0]
+	for _, value := range values[1:] {
+		if value.LessThan(min) {
+			min = value
+		}
+	}
+	return min
+}
+
+func Max(values ...decimal.Decimal) decimal.Decimal {
+	if len(values) == 0 {
+		return decimal.Zero
+	}
+	max := values[0]
+	for _, value := range values[1:] {
+		if value.GreaterThan(max) {
+			max = value
+		}
+	}
+	return max
+}
+
+func Abs(value decimal.Decimal) decimal.Decimal {
+	if value.IsNegative() {
+		return value.Neg()
+	}
+	return value
+}

internal/money/rounding_test.go

@@ -0,0 +1,39 @@
+package money
+
+import (
+	"testing"
+
+	"github.com/shopspring/decimal"
+)
+
+func d(raw string) decimal.Decimal {
+	v, err := decimal.NewFromString(raw)
+	if err != nil {
+		panic(err)
+	}
+	return v
+}
+
+func TestRoundToTick(t *testing.T) {
+	tests := []struct {
+		price string
+		tick  string
+		mode  RoundMode
+		want  string
+	}{
+		{"10.12346", "0.0001", RoundNearest, "10.1235"},
+		{"10.126", "0.01", RoundFloor, "10.12"},
+		{"10.126", "0.01", RoundCeil, "10.13"},
+		{"10.24", "0.5", RoundNearest, "10"},
+		{"10.26", "0.5", RoundNearest, "10.5"},
+	}
+	for _, tt := range tests {
+		got, err := RoundToTick(d(tt.price), d(tt.tick), tt.mode)
+		if err != nil {
+			t.Fatal(err)
+		}
+		if !got.Equal(d(tt.want)) {
+			t.Fatalf("RoundToTick(%s,%s)=%s want %s", tt.price, tt.tick, got, tt.want)
+		}
+	}
+}