mirror of
https://github.com/luxfi/broker.git
synced 2026-09-24 00:25:18 +00:00
zeekay
4532862f22
Same issue as snapshots — Alpaca sandbox returns 404 for
/v1beta3/crypto/us/{sym}/bars but works with
/v1beta3/crypto/us/bars?symbols={sym}. Also handle the wrapped
response format {"bars":{"BTC/USD":[...]}} vs stock {"bars":[...]}.
99 lines
2.9 KiB
Go
99 lines
2.9 KiB
Go
package marketdata
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import (
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"testing"
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)
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func TestArbitrageDetectorNoOpportunity(t *testing.T) {
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feed := NewFeed()
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// Both venues have overlapping spread (no arb)
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feed.UpdateQuote("BTC/USD", "coinbase", 50000, 50010, 1, 1, 50005)
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feed.UpdateQuote("BTC/USD", "kraken", 49990, 50020, 1, 1, 50005)
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det := NewArbitrageDetector(feed, 0)
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opps := det.Scan()
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if len(opps) != 0 {
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t.Errorf("expected 0 opportunities, got %d", len(opps))
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}
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}
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func TestArbitrageDetectorFindsOpportunity(t *testing.T) {
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feed := NewFeed()
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// Coinbase bid 50100 > Kraken ask 50000 => buy Kraken, sell Coinbase
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feed.UpdateQuote("BTC/USD", "coinbase", 50100, 50200, 2, 2, 50150)
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feed.UpdateQuote("BTC/USD", "kraken", 49900, 50000, 3, 3, 49950)
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det := NewArbitrageDetector(feed, 0)
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opps := det.Scan()
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if len(opps) != 1 {
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t.Fatalf("expected 1 opportunity, got %d", len(opps))
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}
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opp := opps[0]
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if opp.BuyVenue != "kraken" {
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t.Errorf("BuyVenue = %q, want 'kraken'", opp.BuyVenue)
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}
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if opp.SellVenue != "coinbase" {
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t.Errorf("SellVenue = %q, want 'coinbase'", opp.SellVenue)
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}
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if opp.BuyPrice != 50000 {
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t.Errorf("BuyPrice = %f, want 50000", opp.BuyPrice)
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}
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if opp.SellPrice != 50100 {
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t.Errorf("SellPrice = %f, want 50100", opp.SellPrice)
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}
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if opp.SpreadAbs != 100 {
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t.Errorf("SpreadAbs = %f, want 100", opp.SpreadAbs)
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}
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if opp.SpreadBps <= 0 {
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t.Errorf("SpreadBps = %f, want > 0", opp.SpreadBps)
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}
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}
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func TestArbitrageDetectorThreshold(t *testing.T) {
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feed := NewFeed()
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// Small arb: bid 50010 > ask 50000 => 10 spread, ~2 bps
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feed.UpdateQuote("ETH/USD", "gemini", 50010, 50100, 1, 1, 50050)
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feed.UpdateQuote("ETH/USD", "binance", 49900, 50000, 1, 1, 49950)
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// With a high threshold, should not trigger
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det := NewArbitrageDetector(feed, 100) // 100 bps = 1%
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opps := det.Scan()
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if len(opps) != 0 {
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t.Errorf("expected 0 opportunities at 100bps threshold, got %d", len(opps))
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}
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// With low threshold, should trigger
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det2 := NewArbitrageDetector(feed, 1) // 1 bps
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opps2 := det2.Scan()
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if len(opps2) != 1 {
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t.Errorf("expected 1 opportunity at 1bps threshold, got %d", len(opps2))
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}
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}
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func TestArbitrageDetectorSingleVenue(t *testing.T) {
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feed := NewFeed()
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feed.UpdateQuote("SOL/USD", "coinbase", 100, 101, 10, 10, 100.5)
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det := NewArbitrageDetector(feed, 0)
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opps := det.CheckSymbol("SOL/USD")
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if len(opps) != 0 {
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t.Errorf("expected 0 opportunities with single venue, got %d", len(opps))
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}
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}
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func TestArbitrageDetectorBidirectional(t *testing.T) {
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feed := NewFeed()
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// Both directions have arb (crossed market)
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feed.UpdateQuote("DOGE/USD", "exchange_a", 0.15, 0.14, 100, 100, 0.145)
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feed.UpdateQuote("DOGE/USD", "exchange_b", 0.16, 0.13, 100, 100, 0.145)
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det := NewArbitrageDetector(feed, 0)
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opps := det.CheckSymbol("DOGE/USD")
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// a.bid(0.15) > b.ask(0.13) => buy b sell a
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// b.bid(0.16) > a.ask(0.14) => buy a sell b
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if len(opps) != 2 {
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t.Errorf("expected 2 bidirectional opportunities, got %d", len(opps))
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}
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}
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