Initial commit

spec/trading/matching/executor_spec.rb

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+# encoding: UTF-8
+# frozen_string_literal: true
+
+describe Matching::Executor do
+  let(:alice)  { who_is_billionaire }
+  let(:bob)    { who_is_billionaire }
+  let(:market) { Market.find('btcusd') }
+  let(:price)  { 10.to_d }
+  let(:volume) { 5.to_d }
+
+  subject do
+    Matching::Executor.new(
+      action: 'execute',
+      trade: {
+        market_id:      market.id,
+        maker_order_id: ask.id,
+        taker_order_id: bid.id,
+        strike_price:   price.to_s('F'),
+        amount:         volume.to_s('F'),
+        total:          (price * volume).to_s('F')
+      }
+    )
+  end
+
+  context 'invalid volume' do
+    let(:ask) { ::Matching::LimitOrder.new create(:order_ask, :btcusd, price: price, volume: volume, member: alice).to_matching_attributes }
+    let(:bid) { ::Matching::LimitOrder.new create(:order_bid, :btcusd, price: price, volume: 3.to_d, member: bob).to_matching_attributes }
+
+    it 'should raise error' do
+      expect { subject.execute! }.to raise_error(Matching::TradeExecutionError)
+    end
+  end
+
+  context 'invalid bid price' do
+    let(:ask) { ::Matching::LimitOrder.new create(:order_ask, :btcusd, price: price, volume: volume, member: alice).to_matching_attributes }
+    let(:bid) { ::Matching::LimitOrder.new create(:order_bid, :btcusd, price: price - 1, volume: volume, member: bob).to_matching_attributes }
+
+    it 'should raise error' do
+      expect { subject.execute! }.to raise_error(Matching::TradeExecutionError)
+    end
+  end
+
+
+  context 'invalid ask price' do
+    let(:ask) { ::Matching::LimitOrder.new create(:order_ask, :btcusd, price: price + 1, volume: volume, member: alice).to_matching_attributes }
+    let(:bid) { ::Matching::LimitOrder.new create(:order_bid, :btcusd, price: price, volume: volume, member: bob).to_matching_attributes }
+
+    it 'should raise error' do
+      expect { subject.execute! }.to raise_error(Matching::TradeExecutionError)
+    end
+  end
+
+  context 'full execution' do
+    let(:ask) { ::Matching::LimitOrder.new create(:order_ask, :btcusd, price: price, volume: volume, member: alice).to_matching_attributes }
+    let(:bid) { ::Matching::LimitOrder.new create(:order_bid, :btcusd, price: price, volume: volume, member: bob).to_matching_attributes }
+
+    it 'should create trade' do
+      expect do
+        trade = subject.execute!
+
+        expect(trade.price).to eq price
+        expect(trade.amount).to eq volume
+        expect(trade.maker_order_id).to eq ask.id
+        expect(trade.taker_order_id).to eq bid.id
+      end.to change(Trade, :count).by(1)
+    end
+
+    it 'should set trade used funds' do
+      trade = subject.execute!
+      expect(trade.total).to eq price * volume
+    end
+
+    it 'should increase order\'s trades count' do
+      subject.execute!
+      expect(Order.find(ask.id).trades_count).to eq 1
+      expect(Order.find(bid.id).trades_count).to eq 1
+    end
+
+    it 'should mark both orders as done' do
+      subject.execute!
+      expect(Order.find(ask.id).state).to eq Order::DONE
+      expect(Order.find(bid.id).state).to eq Order::DONE
+    end
+
+    it 'should publish trade through amqp' do
+      AMQP::Queue.expects(:publish)
+      subject.execute!
+    end
+  end
+
+  context 'partial ask execution' do
+    let(:ask) { create(:order_ask, :btcusd, price: price, volume: 7.to_d, member: alice) }
+    let(:bid) { create(:order_bid, :btcusd, price: price, volume: 5.to_d, member: bob) }
+
+    it 'should set bid to done only' do
+      subject.execute!
+
+      expect(ask.reload.state).not_to eq Order::DONE
+      expect(bid.reload.state).to eq Order::DONE
+    end
+  end
+
+  context 'partial bid execution' do
+    let(:ask) { create(:order_ask, :btcusd, price: price, volume: 5.to_d, member: alice) }
+    let(:bid) { create(:order_bid, :btcusd, price: price, volume: 7.to_d, member: bob) }
+
+    it 'should set ask to done only' do
+      subject.execute!
+
+      expect(ask.reload.state).to eq Order::DONE
+      expect(bid.reload.state).not_to eq Order::DONE
+    end
+  end
+
+  context 'partially filled market order whose locked fund run out' do
+    let(:ask) { create(:order_ask, :btcusd, price: '2.0'.to_d, volume: '3.0'.to_d, member: alice) }
+    let(:bid) { create(:order_bid, :btcusd, price: nil, ord_type: 'market', volume: '2.0'.to_d, locked: '3.0'.to_d, member: bob) }
+
+    it 'should cancel the market order' do
+      executor = Matching::Executor.new(
+        action: 'execute',
+        trade: {
+          market_id:      market.id,
+          maker_order_id: ask.id,
+          taker_order_id: bid.id,
+          strike_price:   '2.0'.to_d,
+          amount:         '1.5'.to_d,
+          total:          '3.0'.to_d
+        }
+      )
+      executor.execute!
+
+      expect(bid.reload.state).to eq Order::CANCEL
+    end
+  end
+
+  context 'unlock not used funds' do
+    let(:ask) { create(:order_ask, :btcusd, price: price - 1, volume: 7.to_d, member: alice) }
+    let(:bid) { create(:order_bid, :btcusd, price: price, volume: volume, member: bob) }
+
+    subject do
+      Matching::Executor.new(
+        action: 'execute',
+        trade: {
+          market_id:      market.id,
+          maker_order_id: ask.id,
+          taker_order_id: bid.id,
+          strike_price:   price - 1, # so bid order only used (price-1)*volume
+          amount:         volume.to_s('F'),
+          total:          ((price - 1) * volume).to_s('F')
+        }
+      )
+    end
+
+    it 'should unlock funds not used by bid order' do
+      locked_before = bid.hold_account.reload.locked
+
+      subject.execute!
+      locked_after = bid.hold_account.reload.locked
+
+      expect(locked_after).to eq locked_before - (price * volume)
+    end
+
+    it 'should save unused amount in order locked attribute' do
+      subject.execute!
+      expect(bid.reload.locked).to eq price * volume - (price - 1) * volume
+    end
+  end
+
+  context 'maker/taker fee' do
+    # Create two limit orders:
+    # Ask: member_id: alice, market: btcusd, price: 10, volume: 5 - Maker;
+    # Bid: member_id: bob, market: btcusd, price: 10, volume: 5 - Taker;
+
+
+    context 'maker_fee: 1%, taker_fee: 2%' do
+      # Maker_fee: 1%;
+      # Taker_fee: 2%;
+      # Result after exeuction:
+      # Alice get 49.5 usd;
+      # Bob get 4.9 btc;
+      let(:ask) { create(:order_ask, :btcusd, price: price, volume: volume, member: alice) }
+      let(:bid) { create(:order_bid, :btcusd, price: price, volume: volume, member: bob) }
+
+      before do
+        TradingFee.last.update!(maker: 0.01, taker: 0.02)
+        subject.execute!
+      end
+
+      it do
+        expect(ask.member.balance_for(currency: bid.currency, kind: :main)).to eq(49.5)
+        expect(bid.member.balance_for(currency: ask.currency, kind: :main)).to eq(4.9)
+        expect(Operations::Revenue.find_by(currency: bid.currency, member: ask.member).credit).to eq(0.5)
+        expect(Operations::Revenue.find_by(currency: ask.currency, member: bid.member).credit).to eq(0.1)
+      end
+    end
+
+    context 'maker_fee: 0%, taker_fee: 2%' do
+      # Maker_fee: 0%;
+      # Taker_fee: 2%;
+      # Result after exeuction:
+      # Alice get 50.0 usd;
+      # Bob get 4.9 btc;
+      let(:ask) { create(:order_ask, :btcusd, price: price, volume: volume, member: alice) }
+      let(:bid) { create(:order_bid, :btcusd, price: price, volume: volume, member: bob) }
+
+      before do
+        TradingFee.last.update!(maker: 0.0, taker: 0.02)
+        subject.execute!
+      end
+
+      it do
+        expect(ask.member.balance_for(currency: bid.currency, kind: :main)).to eq(50)
+        expect(bid.member.balance_for(currency: ask.currency, kind: :main)).to eq(4.9)
+        expect(Operations::Revenue.find_by(currency: bid.currency, member: ask.member).blank?).to eq(true)
+        expect(Operations::Revenue.find_by(currency: ask.currency, member: bid.member).credit).to eq(0.1)
+      end
+    end
+  end
+
+  context 'execution fail' do
+    let(:ask) { ::Matching::LimitOrder.new create(:order_ask, :btcusd, price: price, volume: volume, member: alice).to_matching_attributes }
+    let(:bid) { ::Matching::LimitOrder.new create(:order_bid, :btcusd, price: price, volume: volume, member: bob).to_matching_attributes }
+
+    it 'should not create trade' do
+      # set locked funds to 0 so strike will fail
+      alice.get_account(:btc).update_attributes(locked: ::Trade::ZERO)
+
+      expect do
+        expect { subject.execute! }.to raise_error(Account::AccountError)
+      end.not_to change(Trade, :count)
+    end
+  end
+end