import { describe, expect, it } from "vitest"; import type { ExchangeAdapter } from "../src/exchanges/adapter"; import type { AccountSnapshot, Depth, Order, Ticker, CreateOrderParams, } from "../src/exchanges/types"; import type { GridConfig } from "../src/config"; import { GridEngine } from "../src/strategy/grid-engine"; class StubAdapter implements ExchangeAdapter { id = "aster"; private accountHandler: ((snapshot: AccountSnapshot) => void) | null = null; private orderHandler: ((orders: Order[]) => void) | null = null; private depthHandler: ((depth: Depth) => void) | null = null; private tickerHandler: ((ticker: Ticker) => void) | null = null; private currentOrders: Order[] = []; public createdOrders: CreateOrderParams[] = []; public marketOrders: CreateOrderParams[] = []; public cancelAllCount = 0; public cancelledOrders: Array = []; supportsTrailingStops(): boolean { return false; } watchAccount(cb: (snapshot: AccountSnapshot) => void): void { this.accountHandler = cb; } watchOrders(cb: (orders: Order[]) => void): void { this.orderHandler = cb; } watchDepth(_symbol: string, cb: (depth: Depth) => void): void { this.depthHandler = cb; } watchTicker(_symbol: string, cb: (ticker: Ticker) => void): void { this.tickerHandler = cb; } watchKlines(): void { // not used in tests } emitAccount(snapshot: AccountSnapshot): void { this.accountHandler?.(snapshot); } emitOrders(orders: Order[]): void { this.orderHandler?.(orders); } emitDepth(depth: Depth): void { this.depthHandler?.(depth); } emitTicker(ticker: Ticker): void { this.tickerHandler?.(ticker); } async createOrder(params: CreateOrderParams): Promise { const order: Order = { orderId: `${Date.now()}-${Math.random()}`, clientOrderId: "test", symbol: params.symbol, side: params.side, type: params.type, status: params.type === "MARKET" ? "FILLED" : "NEW", price: Number(params.price ?? 0).toString(), origQty: Number(params.quantity ?? 0).toString(), executedQty: "0", stopPrice: "0", time: Date.now(), updateTime: Date.now(), reduceOnly: params.reduceOnly === "true", closePosition: false, }; this.createdOrders.push(params); if (params.type === "MARKET") { this.marketOrders.push(params); this.orderHandler?.([]); } else { this.currentOrders = [order]; this.orderHandler?.(this.currentOrders); } return order; } async cancelOrder(params: { symbol: string; orderId: number | string }): Promise { this.cancelledOrders.push(params.orderId); } async cancelOrders(params: { symbol: string; orderIdList: Array }): Promise { this.cancelledOrders.push(...params.orderIdList); } async cancelAllOrders(): Promise { this.cancelAllCount += 1; this.currentOrders = []; this.orderHandler?.([]); } } function createAccountSnapshot(symbol: string, positionAmt: number): AccountSnapshot { return { canTrade: true, canDeposit: true, canWithdraw: true, updateTime: Date.now(), totalWalletBalance: "0", totalUnrealizedProfit: "0", positions: [ { symbol, positionAmt: positionAmt.toString(), entryPrice: "150", unrealizedProfit: "0", positionSide: "BOTH", updateTime: Date.now(), }, ], assets: [], } as unknown as AccountSnapshot; } describe("GridEngine", () => { const baseConfig: GridConfig = { symbol: "BTCUSDT", lowerPrice: 100, upperPrice: 200, gridLevels: 3, orderSize: 0.1, maxPositionSize: 0.2, refreshIntervalMs: 10, maxLogEntries: 50, priceTick: 0.1, qtyStep: 0.01, direction: "both", stopLossPct: 0.01, restartTriggerPct: 0.01, autoRestart: true, gridMode: "geometric", maxCloseSlippagePct: 0.05, }; it("creates geometric desired orders when running in both directions", async () => { const adapter = new StubAdapter(); const engine = new GridEngine(baseConfig, adapter, { now: () => 0 }); adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, 0)); adapter.emitOrders([]); adapter.emitTicker({ symbol: baseConfig.symbol, lastPrice: "150", openPrice: "150", highPrice: "150", lowPrice: "150", volume: "0", quoteVolume: "0", }); // use internal syncGrid to generate orders without waiting for timers const desired = (engine as any).computeDesiredOrders(150) as Array<{ side: string; price: string }>; expect(desired).toHaveLength(3); const buyOrders = desired.filter((order) => order.side === "BUY"); const sellOrders = desired.filter((order) => order.side === "SELL"); expect(buyOrders).toHaveLength(2); expect(sellOrders).toHaveLength(1); expect(Number(buyOrders[0]?.price)).toBeCloseTo(141.4, 1); expect(Number(buyOrders[1]?.price)).toBeCloseTo(100, 6); expect(Number(sellOrders[0]?.price)).toBeCloseTo(200, 6); engine.stop(); }); it("limits sell orders for long-only direction when no position is available", () => { const adapter = new StubAdapter(); const engine = new GridEngine({ ...baseConfig, direction: "long" }, adapter, { now: () => 0 }); adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, 0)); adapter.emitOrders([]); const desired = (engine as any).computeDesiredOrders(150) as Array<{ side: string; reduceOnly: boolean }>; const sells = desired.filter((order) => order.side === "SELL"); const buys = desired.filter((order) => order.side === "BUY"); expect(buys.length).toBeGreaterThan(0); expect(sells).toHaveLength(0); engine.stop(); }); it("does not repopulate the same buy level until exposure is released", () => { const adapter = new StubAdapter(); const engine = new GridEngine(baseConfig, adapter, { now: () => 0 }); adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, 0)); adapter.emitOrders([]); const desiredInitial = (engine as any).computeDesiredOrders(150) as Array<{ level: number; side: string }>; const nearestBuy = desiredInitial.find((order) => order.side === "BUY"); expect(nearestBuy).toBeTruthy(); const targetLevel = nearestBuy!.level; (engine as any).longExposure.set(targetLevel, baseConfig.orderSize); adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, baseConfig.orderSize)); const desiredAfterFill = (engine as any).computeDesiredOrders(150) as Array<{ level: number; side: string }>; expect(desiredAfterFill.some((order) => order.level === targetLevel && order.side === "BUY")).toBe(false); adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, 0)); const desiredAfterExit = (engine as any).computeDesiredOrders(150) as Array<{ level: number; side: string }>; expect(desiredAfterExit.some((order) => order.level === targetLevel && order.side === "BUY")).toBe(true); engine.stop(); }); it("keeps level side assignments stable regardless of price", () => { const adapter = new StubAdapter(); const engine = new GridEngine(baseConfig, adapter, { now: () => 0 }); adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, 0)); adapter.emitOrders([]); const desiredHigh = (engine as any).computeDesiredOrders(2.45) as Array<{ level: number; side: string }>; expect(desiredHigh.every((order) => { const isBuyLevel = order.level <= Math.floor((baseConfig.gridLevels - 1) / 2); return isBuyLevel ? order.side === "BUY" : order.side === "SELL"; })).toBe(true); const desiredLow = (engine as any).computeDesiredOrders(1.55) as Array<{ level: number; side: string }>; expect(desiredLow.every((order) => { const isBuyLevel = order.level <= Math.floor((baseConfig.gridLevels - 1) / 2); return isBuyLevel ? order.side === "BUY" : order.side === "SELL"; })).toBe(true); engine.stop(); }); it("limits active sell orders by remaining short headroom", () => { const adapter = new StubAdapter(); const engine = new GridEngine(baseConfig, adapter, { now: () => 0 }); adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, 0)); adapter.emitOrders([]); const desiredFull = (engine as any).computeDesiredOrders(2.1) as Array<{ level: number; side: string }>; const sellCountFull = desiredFull.filter((order) => order.side === "SELL").length; expect(sellCountFull).toBeGreaterThan(0); const limitedHeadroomConfig = { ...baseConfig, maxPositionSize: baseConfig.orderSize * 2 }; const limitedEngine = new GridEngine(limitedHeadroomConfig, adapter as any, { now: () => 0 }); (limitedEngine as any).shortExposure.set(12, baseConfig.orderSize * 2); const desiredLimited = (limitedEngine as any).computeDesiredOrders(2.1) as Array<{ level: number; side: string }>; const sellCountLimited = desiredLimited.filter((order) => order.side === "SELL").length; expect(sellCountLimited).toBeLessThanOrEqual(1); engine.stop(); limitedEngine.stop(); }); it("places reduce-only orders to close existing exposures", () => { const adapter = new StubAdapter(); const engine = new GridEngine(baseConfig, adapter, { now: () => 0 }); adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, baseConfig.orderSize)); adapter.emitOrders([]); const buyLevel = (engine as any).buyLevelIndices.slice(-1)[0]; (engine as any).longExposure.set(buyLevel, baseConfig.orderSize); const desired = (engine as any).computeDesiredOrders(2.05) as Array<{ level: number; side: string; reduceOnly: boolean; amount: number; }>; const closeOrder = desired.find((order) => order.reduceOnly && order.side === "SELL"); expect(closeOrder).toBeTruthy(); expect(closeOrder!.amount).toBeCloseTo(baseConfig.orderSize); engine.stop(); }); it("restores exposures from existing reduce-only orders on restart", async () => { const adapter = new StubAdapter(); const engine = new GridEngine(baseConfig, adapter, { now: () => 0 }); adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, baseConfig.orderSize * 2)); const reduceOrder: Order = { orderId: "existing-reduce", clientOrderId: "existing-reduce", symbol: baseConfig.symbol, side: "SELL", type: "LIMIT", status: "NEW", price: baseConfig.upperPrice.toFixed(1), origQty: (baseConfig.orderSize * 2).toString(), executedQty: "0", stopPrice: "0", time: Date.now(), updateTime: Date.now(), reduceOnly: true, closePosition: false, }; adapter.emitOrders([reduceOrder]); adapter.emitTicker({ symbol: baseConfig.symbol, lastPrice: "150", openPrice: "150", highPrice: "150", lowPrice: "150", volume: "0", quoteVolume: "0", }); await (engine as any).syncGrid(150); const longExposure: Map = (engine as any).longExposure; const buyIndices: number[] = (engine as any).buyLevelIndices; const totalExposure = [...longExposure.values()].reduce((acc, qty) => acc + qty, 0); expect(totalExposure).toBeCloseTo(baseConfig.orderSize * 2, 6); expect(longExposure.get(buyIndices.slice(-1)[0]!)).toBeCloseTo(baseConfig.orderSize, 6); expect(longExposure.get(buyIndices[0]!)).toBeCloseTo(baseConfig.orderSize, 6); const snapshot = engine.getSnapshot(); const reduceDesired = snapshot.desiredOrders.find( (order) => order.reduceOnly && order.side === "SELL" ); expect(reduceDesired).toBeTruthy(); expect(reduceDesired!.amount).toBeCloseTo(baseConfig.orderSize * 2, 6); expect(Number(reduceDesired!.price)).toBeCloseTo(baseConfig.upperPrice, 6); expect(adapter.cancelledOrders).toHaveLength(0); engine.stop(); }); it("halts the grid and closes positions when stop loss triggers", async () => { const adapter = new StubAdapter(); const engine = new GridEngine(baseConfig, adapter, { now: () => 0 }); adapter.emitAccount(createAccountSnapshot(baseConfig.symbol, 0.2)); adapter.emitOrders([]); adapter.emitTicker({ symbol: baseConfig.symbol, lastPrice: "150", openPrice: "150", highPrice: "150", lowPrice: "150", volume: "0", quoteVolume: "0", }); (engine as any).stopReason = "test stop"; await (engine as any).haltGrid(90); expect(adapter.cancelAllCount).toBeGreaterThanOrEqual(1); expect(adapter.marketOrders).toHaveLength(1); expect(engine.getSnapshot().running).toBe(false); engine.stop(); }); });