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