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Corrected engine.js to include held assets in calculations for buy_max_amt and buy_pct #1112

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merged 3 commits into from
Jan 12, 2018
Merged

Corrected engine.js to include held assets in calculations for buy_max_amt and buy_pct #1112

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9c6ad4c
Cherry picked master branch changes into unstable branch
T-rav Jan 12, 2018
91b6108
Merge branch 'unstable' into unstable
T-rav Jan 12, 2018
45614f7
Merge branch 'unstable' into unstable
DeviaVir Jan 12, 2018
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31 changes: 18 additions & 13 deletions lib/engine.js
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Original file line number Diff line number Diff line change
Expand Up @@ -18,6 +18,7 @@ module.exports = function container (get, set, clear) {
s.product_id = so.selector.product_id
s.asset = so.selector.asset
s.currency = so.selector.currency
s.asset_capital = 0

if (typeof so.period_length == 'undefined')
so.period_length = so.period
Expand Down Expand Up @@ -192,18 +193,19 @@ module.exports = function container (get, set, clear) {
s.exchange.getBalance({currency: s.currency, asset: s.asset}, function (err, balance) {
if (err) return cb(err)
s.balance = balance
if (!s.start_capital) {
s.exchange.getQuote({product_id: s.product_id}, function (err, quote) {
if (err) return cb(err)
s.exchange.getQuote({product_id: s.product_id}, function (err, quote) {
if (err) return cb(err)

if (!s.start_capital) {
s.start_price = n(quote.ask).value()
s.start_capital = n(s.balance.currency).add(n(s.balance.asset).multiply(quote.ask)).value()

pushMessage('Balance ' + s.exchange.name.toUpperCase(), 'sync balance ' + s.start_capital + ' ' + s.currency + '\n')

cb()
})
}
else cb()
}
s.asset_capital = n(s.balance.asset).multiply(quote.ask).value()
cb()
})
})
}

Expand Down Expand Up @@ -435,11 +437,14 @@ module.exports = function container (get, set, clear) {
if (!size) {
if (so.mode === 'live' || so.mode === 'paper') {
var buy_pct = so.buy_pct
if(so.buy_max_amt){
var buy_max_as_pct = n(so.buy_max_amt).divide(s.balance.currency).multiply(100)
if(buy_max_as_pct < buy_pct){
buy_pct = buy_max_as_pct
}
if(so.buy_max_amt){ // account for held assets as buy_max
var adjusted_buy_max_amt = n(so.buy_max_amt).subtract(s.asset_capital).value()
var buy_max_as_pct = n(adjusted_buy_max_amt).divide(s.balance.currency).multiply(100).value()
buy_pct = buy_max_as_pct
}else{ // account for held assets as %
var held_pct = n(s.asset_capital).divide(s.balance.currency).multiply(100).value()
var to_buy_pct = n(so.buy_pct).subtract(held_pct).value()
buy_pct = to_buy_pct
}
if (so.order_type === 'maker') {
size = n(s.balance.currency).multiply(buy_pct).divide(100).multiply(s.exchange.makerFee / 100).format('0.00000000')
Expand Down
1 change: 1 addition & 0 deletions package-lock.json
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306 changes: 206 additions & 100 deletions test/lib/engine.test.js
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Original file line number Diff line number Diff line change
@@ -1,121 +1,227 @@
describe("Engine", function() {
describe("executeSignal", function() {
describe("when maker", function(){
it("with buy_max_amt less than buy_pct amount should use buy_max_amt", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1
var buy_pct = 50
var buy_max_amt = 0.25
var order_type = "maker"
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "2.77500000"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
describe("when maker in live mode", function(){
describe("with buy_max set", function(){
it("and no held assets should use raw buy_max_amt", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1.0
var buy_pct = 50
var buy_max_amt = 0.25
var order_type = "maker"
var held_asset = 0
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "2.77500000"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
})
it("and held assets should use adjusted buy_max_amt", function(){
// arrange
var signal_type = "buy"
var currency_amount = 3.0
var buy_pct = 50
var buy_max_amt = 0.25
var order_type = "maker"
var held_asset = 0.75
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "1.85925000"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
})
it("and held assets so large adjusted buy_max_amt is below order minimum should not place order", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1.0
var buy_pct = 50
var buy_max_amt = 0.25
var order_type = "maker"
var held_asset = 2.0
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
expect(buy_spy).not.toHaveBeenCalled()
})
})

it("with buy_max_amt more than buy_pct amount should use buy_pct", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1
var buy_pct = 50
var buy_max_amt = 0.75
var order_type = "maker"
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "5.55000000"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
})

it("with buy_max_amt equals buy_pct amount should use buy_pct", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1
var buy_pct = 50
var buy_max_amt = 0.50
var order_type = "maker"
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "5.55000000"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
describe("with no buy_max set", function(){
it("and no held assets should use raw buy_pct", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1.0
var buy_pct = 50
var buy_max_amt = undefined
var order_type = "maker"
var held_asset = 0
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "5.55000000"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
})
it("and held assets should use adjusted buy_pct", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1.0
var buy_pct = 50
var buy_max_amt = undefined
var order_type = "maker"
var held_asset = 0.5
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "4.93950000"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
})
it("and held assets so large adjusted buy_pct is below order minimum should not place order", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1.0
var buy_pct = 50
var buy_max_amt = undefined
var order_type = "maker"
var held_asset = 5.25
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
expect(buy_spy).not.toHaveBeenCalled()
})
})
})

describe("when taker", function(){
it("with buy_max_amt less than buy_pct amount should use buy_max_amt", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1
var buy_pct = 50
var buy_max_amt = 0.25
var order_type = "taker"
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "2.77222222"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
})

it("with buy_max_amt more than buy_pct amount should use buy_pct", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1
var buy_pct = 50
var buy_max_amt = 0.75
var order_type = "taker"
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "5.54444444"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
describe("when taker in live mode", function(){
describe("with buy_max_amt set",function(){
it("and no held assets should use raw buy_max_amt", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1
var buy_pct = 50
var buy_max_amt = 0.25
var order_type = "taker"
var held_asset = 0
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "2.77222222"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
})

it("and held assets should use adjusted buy_max_amt", function(){
// arrange
var signal_type = "buy"
var currency_amount = 3.0
var buy_pct = 50
var buy_max_amt = 0.25
var order_type = "taker"
var held_asset = 0.75
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "1.85738888"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
})

it("and held assets so large adjusted buy_max_amt is below order minimum should not place order", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1.0
var buy_pct = 50
var buy_max_amt = 0.25
var order_type = "taker"
var held_asset = 2.0
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
expect(buy_spy).not.toHaveBeenCalled()
})
})

it("with buy_max_amt equals buy_pct amount should use buy_pct", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1
var buy_pct = 50
var buy_max_amt = 0.50
var order_type = "taker"
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "5.54444444"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
describe("with no buy_max_amt set",function(){
it("with no buy_max_amt set and no held assets should use raw buy_pct", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1
var buy_pct = 50
var buy_max_amt = undefined
var order_type = "taker"
var held_asset = 0
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "5.54444444"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
})
it("and held assets should use adjusted buy_pct", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1.0
var buy_pct = 50
var buy_max_amt = undefined
var order_type = "taker"
var held_asset = 0.5
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
var expected = "4.93455555"
var buyArgs = buy_spy.calls.mostRecent().args[0]
expect(buyArgs.size).toBe(expected)
})
it("and held assets so large adjusted buy_pct is below order minimum should not place order", function(){
// arrange
var signal_type = "buy"
var currency_amount = 1.0
var buy_pct = 50
var buy_max_amt = undefined
var order_type = "taker"
var held_asset = 5.25
var buy_spy = jasmine.createSpy()
var sut = createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy)
// act
sut.executeSignal(signal_type)
// assert
expect(buy_spy).not.toHaveBeenCalled()
})
})
})
})
})

function createEngine(currency_amount, buy_pct, buy_max_amt, order_type, buy_spy){
function createEngine(currency_amount, buy_pct, buy_max_amt, order_type, held_asset, buy_spy){
var fake_asset = "test_asset"
var fake_currency = "BTC"
var fake_exchange = "test_exchange"
var fake_project = "test_product"
var fake_bid = 0.10
var fake_ask = 0.11
var fake_balance = { currency: currency_amount, asset:0}
var fake_balance = { currency: currency_amount, asset:held_asset}

var fakes = {
get: function() { },
Expand Down