50 lines
1.4 KiB
TypeScript
50 lines
1.4 KiB
TypeScript
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import { test } from "node:test";
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import assert from "node:assert/strict";
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import { walkBook, totalDepthBtc } from "./vwap.js";
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import type { Level } from "../entities/index.js";
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const asks: Level[] = [
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{ price: 100, qty: 1 },
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{ price: 101, qty: 2 },
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{ price: 102, qty: 3 },
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];
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test("walkBook fills fully within first level", () => {
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const r = walkBook(asks, 0.5);
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assert.equal(r.filledBtc, 0.5);
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assert.equal(r.vwap, 100);
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assert.equal(r.fullyFilled, true);
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});
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test("walkBook computes VWAP across multiple levels (slippage)", () => {
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const r = walkBook(asks, 2);
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assert.equal(r.filledBtc, 2);
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assert.equal(r.vwap, 100.5);
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assert.equal(r.fullyFilled, true);
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});
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test("walkBook returns partial fill when depth is insufficient", () => {
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const r = walkBook(asks, 10);
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assert.equal(r.filledBtc, 6);
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assert.equal(r.fullyFilled, false);
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});
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test("walkBook handles zero/negative target", () => {
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assert.equal(walkBook(asks, 0).filledBtc, 0);
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assert.equal(walkBook(asks, -1).vwap, 0);
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});
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test("net profit is negative when fees exceed gross edge", () => {
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const vol = 1;
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const buyVwap = 100;
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const sellVwap = 100.1;
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const feeBuy = 0.001;
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const feeSell = 0.001;
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const net = sellVwap * vol * (1 - feeSell) - buyVwap * vol * (1 + feeBuy);
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assert.ok(net < 0, `expected negative net, got ${net}`);
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});
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test("totalDepthBtc sums all levels", () => {
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assert.equal(totalDepthBtc(asks), 6);
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});
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