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test_position_calculator.cpp
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// Copyright [2020-present] <Copyright Kevin, [email protected]>
#include <gtest/gtest.h>
#include <vector>
#include "ft/base/contract_table.h"
#include "ft/component/position/calculator.h"
using ft::Contract;
using ft::ContractTable;
using ft::Direction;
using ft::Offset;
using ft::Position;
using ft::PositionCalculator;
bool is_contractable_inited = [] {
std::vector<Contract> contracts;
contracts.resize(2);
for (auto& contract : contracts) {
contract.size = 1;
}
return ContractTable::Init(std::move(contracts));
}();
TEST(PositionCalculator, SetPosition) {
ASSERT_TRUE(is_contractable_inited);
PositionCalculator pos_calc{};
Position pos_1{};
pos_1.ticker_id = 1;
pos_1.long_pos.holdings = 100;
ASSERT_TRUE(pos_calc.SetPosition(pos_1));
Position pos_2{};
pos_2.ticker_id = 2;
pos_2.short_pos.open_pending = 8;
pos_calc.SetPosition(pos_2);
auto* pos_1_got = pos_calc.GetPosition(1);
ASSERT_EQ(memcmp(pos_1_got, &pos_1, sizeof(Position)), 0);
auto* pos_2_got = pos_calc.GetPosition(2);
ASSERT_EQ(memcmp(pos_2_got, &pos_2, sizeof(Position)), 0);
ASSERT_EQ(pos_calc.GetPosition(0), nullptr);
ASSERT_EQ(pos_calc.GetPosition(3), nullptr);
}
TEST(PositionCalculator, Update) {
ASSERT_TRUE(is_contractable_inited);
PositionCalculator pos_calc{};
ASSERT_TRUE(pos_calc.UpdatePending(1, Direction::kBuy, Offset::kOpen, 8));
auto* pos = pos_calc.GetPosition(1);
ASSERT_TRUE(pos);
ASSERT_EQ(pos->long_pos.open_pending, 8);
ASSERT_EQ(pos->long_pos.close_pending, 0);
ASSERT_EQ(pos->long_pos.holdings, 0);
ASSERT_EQ(pos->short_pos.open_pending, 0);
ASSERT_EQ(pos->short_pos.holdings, 0);
ASSERT_EQ(pos->short_pos.close_pending, 0);
ASSERT_TRUE(pos_calc.UpdateTraded(1, Direction::kBuy, Offset::kOpen, 4, 100));
pos = pos_calc.GetPosition(1);
ASSERT_TRUE(pos);
ASSERT_EQ(pos->long_pos.open_pending, 4);
ASSERT_EQ(pos->long_pos.close_pending, 0);
ASSERT_EQ(pos->long_pos.holdings, 4);
ASSERT_EQ(pos->short_pos.open_pending, 0);
ASSERT_EQ(pos->short_pos.holdings, 0);
ASSERT_EQ(pos->short_pos.close_pending, 0);
ASSERT_DOUBLE_EQ(pos->long_pos.cost_price, 100);
ASSERT_TRUE(pos_calc.UpdateTraded(1, Direction::kBuy, Offset::kOpen, 4, 200));
pos = pos_calc.GetPosition(1);
ASSERT_TRUE(pos);
ASSERT_EQ(pos->long_pos.open_pending, 0);
ASSERT_EQ(pos->long_pos.close_pending, 0);
ASSERT_EQ(pos->long_pos.holdings, 8);
ASSERT_EQ(pos->short_pos.open_pending, 0);
ASSERT_EQ(pos->short_pos.holdings, 0);
ASSERT_EQ(pos->short_pos.close_pending, 0);
ASSERT_DOUBLE_EQ(pos->long_pos.cost_price, 150);
}
TEST(PositionCalculator, Callback) {
ASSERT_TRUE(is_contractable_inited);
PositionCalculator pos_calc{};
pos_calc.SetCallback([](const Position& pos) {
static int count = 0;
switch (count) {
case 0: {
ASSERT_EQ(pos.long_pos.open_pending, 8);
ASSERT_EQ(pos.long_pos.close_pending, 0);
ASSERT_EQ(pos.long_pos.holdings, 0);
ASSERT_EQ(pos.short_pos.open_pending, 0);
ASSERT_EQ(pos.short_pos.holdings, 0);
ASSERT_EQ(pos.short_pos.close_pending, 0);
break;
}
case 1: {
ASSERT_EQ(pos.long_pos.open_pending, 4);
ASSERT_EQ(pos.long_pos.close_pending, 0);
ASSERT_EQ(pos.long_pos.holdings, 4);
ASSERT_EQ(pos.short_pos.open_pending, 0);
ASSERT_EQ(pos.short_pos.holdings, 0);
ASSERT_EQ(pos.short_pos.close_pending, 0);
ASSERT_DOUBLE_EQ(pos.long_pos.cost_price, 100);
break;
}
case 2: {
ASSERT_EQ(pos.long_pos.open_pending, 0);
ASSERT_EQ(pos.long_pos.close_pending, 0);
ASSERT_EQ(pos.long_pos.holdings, 8);
ASSERT_EQ(pos.short_pos.open_pending, 0);
ASSERT_EQ(pos.short_pos.holdings, 0);
ASSERT_EQ(pos.short_pos.close_pending, 0);
ASSERT_DOUBLE_EQ(pos.long_pos.cost_price, 150);
break;
}
default: {
ASSERT_TRUE(false);
break;
}
}
++count;
});
ASSERT_TRUE(pos_calc.UpdatePending(1, Direction::kBuy, Offset::kOpen, 8));
ASSERT_TRUE(pos_calc.UpdateTraded(1, Direction::kBuy, Offset::kOpen, 4, 100));
ASSERT_TRUE(pos_calc.UpdateTraded(1, Direction::kBuy, Offset::kOpen, 4, 200));
}