sentio/strategy/ibkr/qqq/qqq_test.go

package qqq

import (
	"git.beejay.kim/Gshopper/sentio"
	"reflect"
	"testing"
	"time"
)

func Test_IBKR_QQQ_IsMarketOpened(t *testing.T) {
	tests := []struct {
		name     string
		datetime string
		want     bool
	}{
		{
			name:     "1s before open",
			datetime: "2024-09-05T13:29:59Z",
			want:     false,
		},
		{
			name:     "just opened",
			datetime: "2024-09-05T13:30:00Z",
			want:     true,
		},
		{
			name:     "Saturday",
			datetime: "2024-09-07T13:30:00Z",
			want:     false,
		},
		{
			name:     "Sunday",
			datetime: "2024-09-08T13:30:00Z",
			want:     false,
		},
		{
			name:     "1s before close",
			datetime: "2024-09-05T18:59:59Z",
			want:     true,
		},
		{
			name:     "just closed",
			datetime: "2024-09-05T20:00:00Z",
			want:     false,
		},
		{
			name:     "closed",
			datetime: "2024-09-05T00:30:00Z",
			want:     false,
		},
	}

	for _, tt := range tests {
		var (
			strategy _ib_qqq
			dt       = sentio.StubClock{}
			err      error
		)

		if dt.Clock, err = time.ParseInLocation(time.RFC3339, tt.datetime, time.UTC); err != nil {
			t.Errorf("ParseInLocation() = %v", err)
			continue
		}

		strategy = _ib_qqq{clock: dt}

		t.Run(tt.name, func(t *testing.T) {
			if got := strategy.IsMarketOpened(); got != tt.want {
				t.Errorf("IsMarketOpened() = %v, want %v", got, tt.want)
			}
		})
	}
}

func Test__ib_qqq_Handle(t *testing.T) {
	type args struct {
		proba     float64
		portfolio sentio.Portfolio
		time      string
	}

	tests := []struct {
		name string
		args args
		want []sentio.StrategyOrder
	}{
		{
			name: "close short position: market reversal",
			args: args{
				proba: 1.00001,
				portfolio: sentio.NewPortfolioStub(
					sentio.PositionStub{
						Symbol: "320227571",
						Size:   -10,
					},
				),
				time: "2024-08-02T15:04:05Z",
			},
			want: []sentio.StrategyOrder{
				{
					Symbol: "320227571",
					Action: sentio.OrderBuy,
					Ratio:  1,
				},
			},
		},
		{
			name: "close long position: market reversal",
			args: args{
				proba: .999,
				portfolio: sentio.NewPortfolioStub(
					sentio.PositionStub{
						Symbol: "320227571",
						Size:   255,
					}),
				time: "2024-08-02T15:04:05Z",
			},
			want: []sentio.StrategyOrder{
				{
					Symbol: "320227571",
					Action: sentio.OrderSell,
					Ratio:  1,
				},
			},
		},
		{
			name: "close position: market closes",
			args: args{
				proba: 0.00001,
				portfolio: sentio.NewPortfolioStub(
					sentio.PositionStub{
						Symbol: "320227571",
						Size:   -10,
					},
				),
				time: "2024-08-02T19:34:05Z",
			},
			want: []sentio.StrategyOrder{
				{
					Symbol: "320227571",
					Action: sentio.OrderBuy,
					Ratio:  1,
				},
			},
		},
		{
			name: "close position: market closes",
			args: args{
				proba: 1.00201,
				portfolio: sentio.NewPortfolioStub(
					sentio.PositionStub{
						Symbol: "320227571",
						Size:   -10,
					},
				),
				time: "2024-08-02T19:34:05Z",
			},
			want: []sentio.StrategyOrder{
				{
					Symbol: "320227571",
					Action: sentio.OrderBuy,
					Ratio:  1,
				},
			},
		},
		{
			name: "close position: market closes",
			args: args{
				proba: 1.00201,
				portfolio: sentio.NewPortfolioStub(
					sentio.PositionStub{
						Symbol: "320227571",
						Size:   10,
					},
				),
				time: "2024-08-02T19:34:05Z",
			},
			want: []sentio.StrategyOrder{
				{
					Symbol: "320227571",
					Action: sentio.OrderSell,
					Ratio:  1,
				},
			},
		},
		{
			name: "open position: long",
			args: args{
				proba: 1.00201,
				time:  "2024-08-02T17:34:05Z",
			},
			want: []sentio.StrategyOrder{
				{
					Symbol: "320227571",
					Action: sentio.OrderBuy,
					Ratio:  .6,
				},
			},
		},
		{
			name: "close LONG position",
			args: args{
				proba: .99,
				portfolio: sentio.NewPortfolioStub(
					sentio.PositionStub{
						Symbol: "320227571",
						Size:   10,
					},
				),
				time: "2024-08-02T15:04:05Z",
			},
			want: []sentio.StrategyOrder{
				{
					Symbol: "320227571",
					Action: sentio.OrderSell,
					Ratio:  1,
				},
			},
		},
		{
			name: "nothing to close or open",
			args: args{
				proba:     1,
				portfolio: sentio.NewPortfolioStub(),
				time:      "2024-08-02T15:04:05Z",
			},
		},
		{
			name: "nothing to close or open",
			args: args{
				proba:     1,
				portfolio: nil,
				time:      "2024-08-02T15:04:05Z",
			},
		},
		{
			name: "nothing to close or open",
			args: args{
				proba: 1.002,
				portfolio: sentio.NewPortfolioStub(
					sentio.PositionStub{
						Symbol: "569311092",
						Size:   100,
					},
					sentio.PositionStub{
						Symbol: "521525020",
						Size:   200,
					},
				),
				time: "2024-08-02T15:04:05Z",
			},
		},
		{
			name: "open extra LONG position",
			args: args{
				proba: 1.002000001,
				portfolio: sentio.NewPortfolioStub(
					sentio.PositionStub{
						Symbol: "320227571",
						Size:   1,
					}),
				time: "2024-08-02T18:30:00Z",
			},
			want: []sentio.StrategyOrder{
				{
					Symbol: "320227571",
					Action: sentio.OrderBuy,
					Ratio:  .3,
				},
			},
		},
	}

	for _, tt := range tests {
		var (
			strategy _ib_qqq
			dt       = sentio.StubClock{}
			err      error
		)

		if dt.Clock, err = time.ParseInLocation(time.RFC3339, tt.args.time, time.UTC); err != nil {
			t.Errorf("ParseInLocation() = %v", err)
			continue
		}

		strategy = _ib_qqq{clock: dt}

		t.Run(tt.name, func(t *testing.T) {
			got := strategy.Handle(tt.args.proba, tt.args.portfolio)
			if !reflect.DeepEqual(got, tt.want) {
				t.Errorf("Handle() got = %v, want %v", got, tt.want)
			}
		})
	}
}