Dena/spec/trading/matching/executor_spec.rb

# 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