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add tests
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@yogurtandjam
yogurtandjam committed May 3, 2024
1 parent 5717cec commit c8eb4e7
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118 changes: 118 additions & 0 deletions src/commonTest/kotlin/exchange.dydx.abacus/payload/v4/V4MarketsTests.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -73,6 +73,9 @@ class V4MarketsTests : V4BaseTests() {

testTradesBatchChanged()
time = perp.log("Trades Batch Changed", time)

testEffectiveIMF()
time = perp.log("Calculate Effective IMF", time)
}

private fun testMarketsSubscribed() {
Expand Down Expand Up @@ -637,4 +640,119 @@ class V4MarketsTests : V4BaseTests() {
},
)
}

fun testEffectiveIMF() {
test(
{
perp.socket(
testWsUrl,
mock.marketsChannel.v4_subscribed_for_effective_imf_calculation,
0,
null,
)
},
"""
{
"markets":{
"markets":{
"BTC-USD":{
"priceChange24H":0.0,
"market":"BTC-USD",
"oraclePrice":0,
"status":{
"canTrade":true,
"canReduce":true
},
"configs":{
"maintenanceMarginFraction":0.03,
"incrementalInitialMarginFraction":0.0,
"incrementalPositionSize":0.0,
"initialMarginFraction":0.05,
"clobPairId":0,
"baselinePositionSize":0.0,
"effectiveInitialMarginFraction": 0.05
},
"perpetual":{
"volume24H":4.936082546194518E8,
"openInterest":3530.502834378,
"nextFundingRate":0.0,
"trades24H":922707
}
},
"ETH-USD":{
"priceChange24H":0.0,
"market":"ETH-USD",
"oraclePrice":1000.0,
"status":{
"canTrade":true,
"canReduce":true
},
"configs":{
"maintenanceMarginFraction":0.03,
"incrementalInitialMarginFraction":0.0,
"incrementalPositionSize":0.0,
"initialMarginFraction":0.01,
"clobPairId":1,
"baselinePositionSize":0.0,
"effectiveInitialMarginFraction": 0.6
},
"perpetual":{
"volume24H":4.931478367879293E8,
"openInterest":1000,
"nextFundingRate":0.0,
"trades24H":939311
}
},
"MATIC-USD":{
"priceChange24H":0.1,
"market":"MATIC-USD",
"oraclePrice":57.80445,
"status":{
"canTrade":true,
"canReduce":true
},
"configs":{
"maintenanceMarginFraction":0.03,
"incrementalPositionSize":0.0,
"initialMarginFraction":0.02,
"clobPairId":33,
"baselinePositionSize":0.0,
"effectiveInitialMarginFraction": 1.0
},
"perpetual":{
"volume24H":0,
"openInterest":5231.255,
"nextFundingRate":0.0,
"trades24H":0
}
},
"ENJ-USD":{
"priceChange24H":0.0,
"market":"ENJ-USD",
"oraclePrice":0.4472,
"status":{
"canTrade":true,
"canReduce":true
},
"configs":{
"maintenanceMarginFraction":0.03,
"incrementalPositionSize":0.0,
"initialMarginFraction":0.05,
"clobPairId":59,
"baselinePositionSize":0.0,
"effectiveInitialMarginFraction": .05
},
"perpetual":{
"volume24H":0,
"openInterest":1200.24,
"nextFundingRate":0.0,
"trades24H":0
}
}
}
}
}
""".trimIndent(),
)
}
}
133 changes: 133 additions & 0 deletions src/commonTest/kotlin/exchange.dydx.abacus/tests/payloads/MarketsChannelMock.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -1225,6 +1225,139 @@ internal class MarketsChannelMock {
}
""".trimIndent()

/*
Cases this mock tests:
- First pair (BTC-USD) is missing upper and lower cap. effectiveIMF should default to regular IMF
- Second pair (ETH-USD) lowerCap < openInterest x oraclePrice < upperCap. effectiveIMF should
be a number between baseIMF and 1.0
- Third pair (MATIC-USD) openInterest x oracePrice > upperCap. effective IMF should be 1
- Fourth pair (ENJ-USD) openInterest < lowerCap. effective IMF should equal regular IMF
*/
internal val v4_subscribed_for_effective_imf_calculation = """
{
"type":"subscribed",
"connection_id":"d8caff8c-0ee8-4eb0-b124-20c2d3d956ba",
"message_id":1,
"channel":"v4_markets",
"contents":{
"markets":{
"BTC-USD":{
"clobPairId":"0",
"ticker":"BTC-USD",
"status":"ACTIVE",
"lastPrice":"0",
"oraclePrice":"0",
"priceChange24H":"0",
"volume24H":"493608254.61945181460",
"trades24H":922707,
"nextFundingRate":"0",
"nextFundingUpdate":0,
"initialMarginFraction":"0.0523",
"incrementalInitialMarginFraction":"0",
"maintenanceMarginFraction":"0.030000",
"basePositionSize":"0",
"incrementalPositionSize":"0",
"maxPositionSize":"0",
"stepBaseQuantums":1000000,
"subticksPerTick":10000,
"openInterest":"3530.502834378",
"atomicResolution":-10,
"quantumConversionExponent":-8,
"tickSize":"0.01",
"stepSize":"0.000000001",
"stepBaseQuantums":10
},
"ETH-USD":{
"clobPairId":"1",
"ticker":"ETH-USD",
"status":"ACTIVE",
"lastPrice":"0",
"oraclePrice":"1000",
"priceChange24H":"0",
"volume24H":"493147836.787929310",
"trades24H":939311,
"nextFundingRate":"0",
"nextFundingUpdate":0,
"initialMarginFraction":"0.01",
"incrementalInitialMarginFraction":"0",
"maintenanceMarginFraction":"0.030000",
"basePositionSize":"0",
"incrementalPositionSize":"0",
"maxPositionSize":"0",
"stepBaseQuantums":1000000,
"subticksPerTick":10000,
"openInterest":"1000",
"openInterestLowerCap": "100000",
"openInterestUpperCap": "1500000",
"atomicResolution":-9,
"quantumConversionExponent":-9,
"tickSize":"0.001",
"stepSize":"0.001",
"stepBaseQuantums":1000
},
"MATIC-USD":{
"clobPairId":"33",
"ticker":"MATIC-USD",
"status":"ACTIVE",
"lastPrice":"0",
"oraclePrice":"57.80445",
"priceChange24H":"0.1",
"volume24H":"0",
"trades24H":0,
"nextFundingRate":"0",
"initialMarginFraction":"0.02",
"maintenanceMarginFraction":"0.03",
"basePositionSize":"0",
"openInterest":"5231.255",
"openInterestLowerCap": "83",
"openInterestUpperCap": "5500",
"incrementalPositionSize":"0",
"atomicResolution":-10,
"quantumConversionExponent":-8,
"tickSize":"100000",
"stepSize":"0.0001",
"stepBaseQuantums":1000000,
"subticksPerTick":1000000000,
"atomicResolution":-9,
"quantumConversionExponent":-9,
"tickSize":"0.001",
"stepSize":"0.001",
"stepBaseQuantums":1000
},
"ENJ-USD": {
"clobPairId":"59",
"ticker":"ENJ-USD",
"status":"ACTIVE",
"lastPrice":"0",
"oraclePrice":".4472",
"priceChange24H":"0",
"volume24H":"0",
"trades24H":0,
"nextFundingRate":"0",
"initialMarginFraction":"0.05",
"maintenanceMarginFraction":"0.03",
"basePositionSize":"0",
"openInterest":"1200.24",
"openInterestLowerCap": "1000",
"openInterestUpperCap": "15000",
"incrementalPositionSize":"0",
"atomicResolution":-10,
"quantumConversionExponent":-8,
"tickSize":"100000",
"stepSize":"0.0001",
"stepBaseQuantums":1000000,
"subticksPerTick":1000000000,
"atomicResolution":-9,
"quantumConversionExponent":-9,
"tickSize":"0.001",
"stepSize":"0.001",
"stepBaseQuantums":1000
}
}
}
}
""".trimIndent()

internal val v4_channel_data = """
{
"type":"channel_data",
Expand Down

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