Added futures tests to test_persistence.test_calc_profit
This commit is contained in:
Sam Germain
parent
ae3688a18a
commit
01a9e90057
|
|
@ -18,7 +18,7 @@ from tests.conftest import (create_mock_trades, create_mock_trades_with_leverage
|
|||
log_has, log_has_re)
|
||||
|
||||
|
||||
spot, margin = TradingMode.SPOT, TradingMode.MARGIN
|
||||
spot, margin, futures = TradingMode.SPOT, TradingMode.MARGIN, TradingMode.FUTURES
|
||||
|
||||
|
||||
def test_init_create_session(default_conf):
|
||||
|
|
@ -186,6 +186,13 @@ def test_set_stop_loss_isolated_liq(fee):
|
|||
("binance", False, 1, 295, 0.0005, 0.0, spot),
|
||||
("binance", True, 1, 295, 0.0005, 0.003125, margin),
|
||||
|
||||
# ("binance", False, 3, 10, 0.0005, 0.0, futures),
|
||||
# ("binance", True, 3, 295, 0.0005, 0.0, futures),
|
||||
# ("binance", False, 5, 295, 0.0005, 0.0, futures),
|
||||
# ("binance", True, 5, 295, 0.0005, 0.0, futures),
|
||||
# ("binance", False, 1, 295, 0.0005, 0.0, futures),
|
||||
# ("binance", True, 1, 295, 0.0005, 0.0, futures),
|
||||
|
||||
("kraken", False, 3, 10, 0.0005, 0.040, margin),
|
||||
("kraken", True, 3, 10, 0.0005, 0.030, margin),
|
||||
("kraken", False, 3, 295, 0.0005, 0.06, margin),
|
||||
|
|
@ -277,6 +284,8 @@ def test_interest(market_buy_order_usdt, fee, exchange, is_short, lev, minutes,
|
|||
(True, 1.0, 30.0, margin),
|
||||
(False, 3.0, 40.0, margin),
|
||||
(True, 3.0, 30.0, margin),
|
||||
# (False, 3.0, 0.0, futures),
|
||||
# (True, 3.0, 0.0, futures),
|
||||
])
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee,
|
||||
|
|
@ -535,10 +544,16 @@ def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee,
|
|||
("binance", True, 1, 59.850, 66.1663784375, -6.316378437500013, -0.105536815998329, margin),
|
||||
("binance", False, 3, 60.15, 65.83416667, 5.684166670000003, 0.2834995845386534, margin),
|
||||
("binance", True, 3, 59.85, 66.1663784375, -6.316378437500013, -0.3166104479949876, margin),
|
||||
|
||||
("kraken", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232, spot),
|
||||
("kraken", True, 1, 59.850, 66.231165, -6.381165, -0.106619298245614, margin),
|
||||
("kraken", False, 3, 60.15, 65.795, 5.645, 0.2815461346633419, margin),
|
||||
("kraken", True, 3, 59.850, 66.231165, -6.381165000000003, -0.319857894736842, margin),
|
||||
|
||||
# TODO-lev
|
||||
# ("binance", True, 1, 59.850, 66.1663784375, -6.316378437500013, -0.105536815998329, futures),
|
||||
# ("binance", False, 3, 60.15, 65.83416667, 5.684166670000003, 0.2834995845386534, futures),
|
||||
# ("binance", True, 3, 59.850, 66.231165, -6.381165000000003, -0.319857894736842, futures),
|
||||
])
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_open_close_trade_price(
|
||||
|
|
@ -666,7 +681,7 @@ def test_update_invalid_order(limit_buy_order_usdt):
|
|||
|
||||
|
||||
@pytest.mark.parametrize('exchange', ['binance', 'kraken'])
|
||||
@pytest.mark.parametrize('trading_mode', [spot, margin])
|
||||
@pytest.mark.parametrize('trading_mode', [spot, margin, futures])
|
||||
@pytest.mark.parametrize('lev', [1, 3])
|
||||
@pytest.mark.parametrize('is_short,fee_rate,result', [
|
||||
(False, 0.003, 60.18),
|
||||
|
|
@ -738,6 +753,11 @@ def test_calc_open_trade_value(
|
|||
('binance', True, 1, 2.2, 2.5, 0.003, 75.22656719, margin),
|
||||
('kraken', True, 1, 2.2, 2.5, 0.0025, 75.2626875, margin),
|
||||
('kraken', True, 1, 2.2, 2.5, 0.003, 75.300225, margin),
|
||||
|
||||
# TODO-lev
|
||||
# ('binance', False, 3, 2.0, 2.5, 0.003, 74.77416667, futures),
|
||||
# ('binance', True, 1, 2.2, 2.5, 0.003, 75.22656719, futures),
|
||||
# ('binance', True, 1, 2.2, 2.5, 0.0025, 75.2626875, futures),
|
||||
])
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_close_trade_price(
|
||||
|
|
@ -763,40 +783,73 @@ def test_calc_close_trade_price(
|
|||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
'exchange,is_short,lev,close_rate,fee_close,profit,profit_ratio,trading_mode', [
|
||||
('binance', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673, spot),
|
||||
('binance', False, 3, 2.1, 0.0025, 2.69166667, 0.13424771421446402, margin),
|
||||
('binance', True, 1, 2.1, 0.0025, -3.308815781249997, -0.05528514254385963, margin),
|
||||
('binance', True, 3, 2.1, 0.0025, -3.308815781249997, -0.1658554276315789, margin),
|
||||
'exchange,is_short,lev,close_rate,fee_close,profit,profit_ratio,trading_mode,funding_fees', [
|
||||
('binance', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673, spot, 0),
|
||||
('binance', False, 3, 2.1, 0.0025, 2.69166667, 0.13424771421446402, margin, 0),
|
||||
('binance', True, 1, 2.1, 0.0025, -3.308815781249997, -0.05528514254385963, margin, 0),
|
||||
('binance', True, 3, 2.1, 0.0025, -3.308815781249997, -0.1658554276315789, margin, 0),
|
||||
|
||||
('binance', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632, margin),
|
||||
('binance', False, 3, 1.9, 0.0025, -3.29333333, -0.16425602643391513, margin),
|
||||
('binance', True, 1, 1.9, 0.0025, 2.7063095312499996, 0.045218204365079395, margin),
|
||||
('binance', True, 3, 1.9, 0.0025, 2.7063095312499996, 0.13565461309523819, margin),
|
||||
('binance', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632, margin, 0),
|
||||
('binance', False, 3, 1.9, 0.0025, -3.29333333, -0.16425602643391513, margin, 0),
|
||||
('binance', True, 1, 1.9, 0.0025, 2.7063095312499996, 0.045218204365079395, margin, 0),
|
||||
('binance', True, 3, 1.9, 0.0025, 2.7063095312499996, 0.13565461309523819, margin, 0),
|
||||
|
||||
('binance', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232, margin),
|
||||
('binance', False, 3, 2.2, 0.0025, 5.68416667, 0.2834995845386534, margin),
|
||||
('binance', True, 1, 2.2, 0.0025, -6.316378437499999, -0.1055368159983292, margin),
|
||||
('binance', True, 3, 2.2, 0.0025, -6.316378437499999, -0.3166104479949876, margin),
|
||||
('binance', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232, margin, 0),
|
||||
('binance', False, 3, 2.2, 0.0025, 5.68416667, 0.2834995845386534, margin, 0),
|
||||
('binance', True, 1, 2.2, 0.0025, -6.316378437499999, -0.1055368159983292, margin, 0),
|
||||
('binance', True, 3, 2.2, 0.0025, -6.316378437499999, -0.3166104479949876, margin, 0),
|
||||
|
||||
('kraken', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673, spot),
|
||||
('kraken', False, 3, 2.1, 0.0025, 2.6525, 0.13229426433915248, margin),
|
||||
('kraken', True, 1, 2.1, 0.0025, -3.3706575, -0.05631842105263152, margin),
|
||||
('kraken', True, 3, 2.1, 0.0025, -3.3706575, -0.16895526315789455, margin),
|
||||
# # Kraken
|
||||
('kraken', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673, spot, 0),
|
||||
('kraken', False, 3, 2.1, 0.0025, 2.6525, 0.13229426433915248, margin, 0),
|
||||
('kraken', True, 1, 2.1, 0.0025, -3.3706575, -0.05631842105263152, margin, 0),
|
||||
('kraken', True, 3, 2.1, 0.0025, -3.3706575, -0.16895526315789455, margin, 0),
|
||||
|
||||
('kraken', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632, margin),
|
||||
('kraken', False, 3, 1.9, 0.0025, -3.3325, -0.16620947630922667, margin),
|
||||
('kraken', True, 1, 1.9, 0.0025, 2.6503575, 0.04428333333333334, margin),
|
||||
('kraken', True, 3, 1.9, 0.0025, 2.6503575, 0.13285000000000002, margin),
|
||||
('kraken', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632, margin, 0),
|
||||
('kraken', False, 3, 1.9, 0.0025, -3.3325, -0.16620947630922667, margin, 0),
|
||||
('kraken', True, 1, 1.9, 0.0025, 2.6503575, 0.04428333333333334, margin, 0),
|
||||
('kraken', True, 3, 1.9, 0.0025, 2.6503575, 0.13285000000000002, margin, 0),
|
||||
|
||||
('kraken', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232, margin),
|
||||
('kraken', False, 3, 2.2, 0.0025, 5.645, 0.2815461346633419, margin),
|
||||
('kraken', True, 1, 2.2, 0.0025, -6.381165, -0.106619298245614, margin),
|
||||
('kraken', True, 3, 2.2, 0.0025, -6.381165, -0.319857894736842, margin),
|
||||
('kraken', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232, margin, 0),
|
||||
('kraken', False, 3, 2.2, 0.0025, 5.645, 0.2815461346633419, margin, 0),
|
||||
('kraken', True, 1, 2.2, 0.0025, -6.381165, -0.106619298245614, margin, 0),
|
||||
('kraken', True, 3, 2.2, 0.0025, -6.381165, -0.319857894736842, margin, 0),
|
||||
|
||||
('binance', False, 1, 2.1, 0.003, 2.6610000000000014, 0.04423940149625927, spot),
|
||||
('binance', False, 1, 1.9, 0.003, -3.320999999999998, -0.05521197007481293, spot),
|
||||
('binance', False, 1, 2.2, 0.003, 5.652000000000008, 0.09396508728179565, spot),
|
||||
('binance', False, 1, 2.1, 0.003, 2.6610000000000014, 0.04423940149625927, spot, 0),
|
||||
('binance', False, 1, 1.9, 0.003, -3.320999999999998, -0.05521197007481293, spot, 0),
|
||||
('binance', False, 1, 2.2, 0.003, 5.652000000000008, 0.09396508728179565, spot, 0),
|
||||
|
||||
# # FUTURES, funding_fee=1
|
||||
('binance', False, 1, 2.1, 0.0025, 3.6925, 0.06138819617622615, futures, 1),
|
||||
('binance', False, 3, 2.1, 0.0025, 3.6925, 0.18416458852867845, futures, 1),
|
||||
('binance', True, 1, 2.1, 0.0025, -2.3074999999999974, -0.038554720133667564, futures, 1),
|
||||
('binance', True, 3, 2.1, 0.0025, -2.3074999999999974, -0.11566416040100269, futures, 1),
|
||||
|
||||
('binance', False, 1, 1.9, 0.0025, -2.2925, -0.0381130507065669, futures, 1),
|
||||
('binance', False, 3, 1.9, 0.0025, -2.2925, -0.1143391521197007, futures, 1),
|
||||
('binance', True, 1, 1.9, 0.0025, 3.707500000000003, 0.06194653299916464, futures, 1),
|
||||
('binance', True, 3, 1.9, 0.0025, 3.707500000000003, 0.18583959899749392, futures, 1),
|
||||
|
||||
('binance', False, 1, 2.2, 0.0025, 6.685, 0.11113881961762262, futures, 1),
|
||||
('binance', False, 3, 2.2, 0.0025, 6.685, 0.33341645885286786, futures, 1),
|
||||
('binance', True, 1, 2.2, 0.0025, -5.315000000000005, -0.08880534670008355, futures, 1),
|
||||
('binance', True, 3, 2.2, 0.0025, -5.315000000000005, -0.26641604010025066, futures, 1),
|
||||
|
||||
# FUTURES, funding_fee=-1
|
||||
('binance', False, 1, 2.1, 0.0025, 1.6925000000000026, 0.028137988362427313, futures, -1),
|
||||
('binance', False, 3, 2.1, 0.0025, 1.6925000000000026, 0.08441396508728194, futures, -1),
|
||||
('binance', True, 1, 2.1, 0.0025, -4.307499999999997, -0.07197159565580624, futures, -1),
|
||||
('binance', True, 3, 2.1, 0.0025, -4.307499999999997, -0.21591478696741873, futures, -1),
|
||||
|
||||
('binance', False, 1, 1.9, 0.0025, -4.292499999999997, -0.07136325852036574, futures, -1),
|
||||
('binance', False, 3, 1.9, 0.0025, -4.292499999999997, -0.2140897755610972, futures, -1),
|
||||
('binance', True, 1, 1.9, 0.0025, 1.7075000000000031, 0.02852965747702596, futures, -1),
|
||||
('binance', True, 3, 1.9, 0.0025, 1.7075000000000031, 0.08558897243107788, futures, -1),
|
||||
|
||||
('binance', False, 1, 2.2, 0.0025, 4.684999999999995, 0.07788861180382378, futures, -1),
|
||||
('binance', False, 3, 2.2, 0.0025, 4.684999999999995, 0.23366583541147135, futures, -1),
|
||||
('binance', True, 1, 2.2, 0.0025, -7.315000000000005, -0.12222222222222223, futures, -1),
|
||||
('binance', True, 3, 2.2, 0.0025, -7.315000000000005, -0.3666666666666667, futures, -1),
|
||||
])
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_profit(
|
||||
|
|
@ -810,7 +863,8 @@ def test_calc_profit(
|
|||
fee_close,
|
||||
profit,
|
||||
profit_ratio,
|
||||
trading_mode
|
||||
trading_mode,
|
||||
funding_fees
|
||||
):
|
||||
"""
|
||||
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
|
||||
|
|
@ -829,6 +883,7 @@ def test_calc_profit(
|
|||
1x,-1x: 60.0 quote
|
||||
3x,-3x: 20.0 quote
|
||||
hours: 1/6 (10 minutes)
|
||||
funding_fees: 1
|
||||
borrowed
|
||||
1x: 0 quote
|
||||
3x: 40 quote
|
||||
|
|
@ -940,6 +995,87 @@ def test_calc_profit(
|
|||
2.1 quote: (62.811 / 60.15) - 1 = 0.04423940149625927
|
||||
1.9 quote: (56.829 / 60.15) - 1 = -0.05521197007481293
|
||||
2.2 quote: (65.802 / 60.15) - 1 = 0.09396508728179565
|
||||
futures (live):
|
||||
funding_fee: 1
|
||||
close_value:
|
||||
equations:
|
||||
1x,3x: (amount * close_rate) - (amount * close_rate * fee) + funding_fees
|
||||
-1x,-3x: (amount * close_rate) + (amount * close_rate * fee) - funding_fees
|
||||
2.1 quote
|
||||
1x,3x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) + 1 = 63.8425
|
||||
-1x,-3x: (30.00 * 2.1) + (30.00 * 2.1 * 0.0025) - 1 = 62.1575
|
||||
1.9 quote
|
||||
1x,3x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) + 1 = 57.8575
|
||||
-1x,-3x: (30.00 * 1.9) + (30.00 * 1.9 * 0.0025) - 1 = 56.1425
|
||||
2.2 quote:
|
||||
1x,3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) + 1 = 66.835
|
||||
-1x,-3x: (30.00 * 2.20) + (30.00 * 2.20 * 0.0025) - 1 = 65.165
|
||||
total_profit:
|
||||
2.1 quote
|
||||
1x,3x: 63.8425 - 60.15 = 3.6925
|
||||
-1x,-3x: 59.850 - 62.1575 = -2.3074999999999974
|
||||
1.9 quote
|
||||
1x,3x: 57.8575 - 60.15 = -2.2925
|
||||
-1x,-3x: 59.850 - 56.1425 = 3.707500000000003
|
||||
2.2 quote:
|
||||
1x,3x: 66.835 - 60.15 = 6.685
|
||||
-1x,-3x: 59.850 - 65.165 = -5.315000000000005
|
||||
total_profit_ratio:
|
||||
2.1 quote
|
||||
1x: (63.8425 / 60.15) - 1 = 0.06138819617622615
|
||||
3x: ((63.8425 / 60.15) - 1)*3 = 0.18416458852867845
|
||||
-1x: 1 - (62.1575 / 59.850) = -0.038554720133667564
|
||||
-3x: (1 - (62.1575 / 59.850))*3 = -0.11566416040100269
|
||||
1.9 quote
|
||||
1x: (57.8575 / 60.15) - 1 = -0.0381130507065669
|
||||
3x: ((57.8575 / 60.15) - 1)*3 = -0.1143391521197007
|
||||
-1x: 1 - (56.1425 / 59.850) = 0.06194653299916464
|
||||
-3x: (1 - (56.1425 / 59.850))*3 = 0.18583959899749392
|
||||
2.2 quote
|
||||
1x: (66.835 / 60.15) - 1 = 0.11113881961762262
|
||||
3x: ((66.835 / 60.15) - 1)*3 = 0.33341645885286786
|
||||
-1x: 1 - (65.165 / 59.850) = -0.08880534670008355
|
||||
-3x: (1 - (65.165 / 59.850))*3 = -0.26641604010025066
|
||||
funding_fee: -1
|
||||
close_value:
|
||||
equations:
|
||||
(amount * close_rate) - (amount * close_rate * fee) + funding_fees
|
||||
(amount * close_rate) - (amount * close_rate * fee) - funding_fees
|
||||
2.1 quote
|
||||
1x,3x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) + (-1) = 61.8425
|
||||
-1x,-3x: (30.00 * 2.1) + (30.00 * 2.1 * 0.0025) - (-1) = 64.1575
|
||||
1.9 quote
|
||||
1x,3x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) + (-1) = 55.8575
|
||||
-1x,-3x: (30.00 * 1.9) + (30.00 * 1.9 * 0.0025) - (-1) = 58.1425
|
||||
2.2 quote:
|
||||
1x,3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) + (-1) = 64.835
|
||||
-1x,-3x: (30.00 * 2.20) + (30.00 * 2.20 * 0.0025) - (-1) = 67.165
|
||||
total_profit:
|
||||
2.1 quote
|
||||
1x,3x: 61.8425 - 60.15 = 1.6925000000000026
|
||||
-1x,-3x: 59.850 - 64.1575 = -4.307499999999997
|
||||
1.9 quote
|
||||
1x,3x: 55.8575 - 60.15 = -4.292499999999997
|
||||
-1x,-3x: 59.850 - 58.1425 = 1.7075000000000031
|
||||
2.2 quote:
|
||||
1x,3x: 64.835 - 60.15 = 4.684999999999995
|
||||
-1x,-3x: 59.850 - 67.165 = -7.315000000000005
|
||||
total_profit_ratio:
|
||||
2.1 quote
|
||||
1x: (61.8425 / 60.15) - 1 = 0.028137988362427313
|
||||
3x: ((61.8425 / 60.15) - 1)*3 = 0.08441396508728194
|
||||
-1x: 1 - (64.1575 / 59.850) = -0.07197159565580624
|
||||
-3x: (1 - (64.1575 / 59.850))*3 = -0.21591478696741873
|
||||
1.9 quote
|
||||
1x: (55.8575 / 60.15) - 1 = -0.07136325852036574
|
||||
3x: ((55.8575 / 60.15) - 1)*3 = -0.2140897755610972
|
||||
-1x: 1 - (58.1425 / 59.850) = 0.02852965747702596
|
||||
-3x: (1 - (58.1425 / 59.850))*3 = 0.08558897243107788
|
||||
2.2 quote
|
||||
1x: (64.835 / 60.15) - 1 = 0.07788861180382378
|
||||
3x: ((64.835 / 60.15) - 1)*3 = 0.23366583541147135
|
||||
-1x: 1 - (67.165 / 59.850) = -0.12222222222222223
|
||||
-3x: (1 - (67.165 / 59.850))*3 = -0.3666666666666667
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ADA/USDT',
|
||||
|
|
@ -953,7 +1089,8 @@ def test_calc_profit(
|
|||
leverage=lev,
|
||||
fee_open=0.0025,
|
||||
fee_close=fee_close,
|
||||
trading_mode=trading_mode
|
||||
trading_mode=trading_mode,
|
||||
funding_fees=funding_fees
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue