diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index a57cf0821..84e402ce5 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -320,6 +320,7 @@ class LocalTrade(): if self.isolated_liq: self.set_isolated_liq(self.isolated_liq) self.recalc_open_trade_value() + # TODO-lev: Throw exception if on margin and interest_rate is none def _set_stop_loss(self, stop_loss: float, percent: float): """ diff --git a/tests/conftest.py b/tests/conftest.py index 188236f40..609823409 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -6,6 +6,7 @@ from copy import deepcopy from datetime import datetime, timedelta from functools import reduce from pathlib import Path +from typing import Tuple from unittest.mock import MagicMock, Mock, PropertyMock import arrow @@ -262,6 +263,10 @@ def create_mock_trades_with_leverage(fee, use_db: bool = True): Trade.query.session.flush() +def get_sides(is_short: bool) -> Tuple[str, str]: + return ("sell", "buy") if is_short else ("buy", "sell") + + @pytest.fixture(autouse=True) def patch_coingekko(mocker) -> None: """ diff --git a/tests/test_persistence.py b/tests/test_persistence.py index 1250e7b92..acdd79350 100644 --- a/tests/test_persistence.py +++ b/tests/test_persistence.py @@ -13,7 +13,8 @@ from sqlalchemy import create_engine, inspect, text from freqtrade import constants from freqtrade.exceptions import DependencyException, OperationalException from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db -from tests.conftest import create_mock_trades, create_mock_trades_with_leverage, log_has, log_has_re +from tests.conftest import (create_mock_trades, create_mock_trades_with_leverage, get_sides, + log_has, log_has_re) def test_init_create_session(default_conf): @@ -64,8 +65,10 @@ def test_init_dryrun_db(default_conf, tmpdir): assert Path(filename).is_file() +@pytest.mark.parametrize('is_short', [False, True]) @pytest.mark.usefixtures("init_persistence") -def test_enter_exit_side(fee): +def test_enter_exit_side(fee, is_short): + enter_side, exit_side = get_sides(is_short) trade = Trade( id=2, pair='ADA/USDT', @@ -77,16 +80,11 @@ def test_enter_exit_side(fee): fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', - is_short=False, + is_short=is_short, leverage=2.0 ) - assert trade.enter_side == 'buy' - assert trade.exit_side == 'sell' - - trade.is_short = True - - assert trade.enter_side == 'sell' - assert trade.exit_side == 'buy' + assert trade.enter_side == enter_side + assert trade.exit_side == exit_side @pytest.mark.usefixtures("init_persistence") @@ -170,8 +168,32 @@ def test_set_stop_loss_isolated_liq(fee): assert trade.initial_stop_loss == 0.09 +@pytest.mark.parametrize('exchange,is_short,lev,minutes,rate,interest', [ + ("binance", False, 3, 10, 0.0005, round(0.0008333333333333334, 8)), + ("binance", True, 3, 10, 0.0005, 0.000625), + ("binance", False, 3, 295, 0.0005, round(0.004166666666666667, 8)), + ("binance", True, 3, 295, 0.0005, round(0.0031249999999999997, 8)), + ("binance", False, 3, 295, 0.00025, round(0.0020833333333333333, 8)), + ("binance", True, 3, 295, 0.00025, round(0.0015624999999999999, 8)), + ("binance", False, 5, 295, 0.0005, 0.005), + ("binance", True, 5, 295, 0.0005, round(0.0031249999999999997, 8)), + ("binance", False, 1, 295, 0.0005, 0.0), + ("binance", True, 1, 295, 0.0005, 0.003125), + + ("kraken", False, 3, 10, 0.0005, 0.040), + ("kraken", True, 3, 10, 0.0005, 0.030), + ("kraken", False, 3, 295, 0.0005, 0.06), + ("kraken", True, 3, 295, 0.0005, 0.045), + ("kraken", False, 3, 295, 0.00025, 0.03), + ("kraken", True, 3, 295, 0.00025, 0.0225), + ("kraken", False, 5, 295, 0.0005, round(0.07200000000000001, 8)), + ("kraken", True, 5, 295, 0.0005, 0.045), + ("kraken", False, 1, 295, 0.0005, 0.0), + ("kraken", True, 1, 295, 0.0005, 0.045), + +]) @pytest.mark.usefixtures("init_persistence") -def test_interest(market_buy_order_usdt, fee): +def test_interest(market_buy_order_usdt, fee, exchange, is_short, lev, minutes, rate, interest): """ 10min, 5hr limit trade on Binance/Kraken at 3x,5x leverage fee: 0.25 % quote @@ -230,114 +252,27 @@ def test_interest(market_buy_order_usdt, fee): stake_amount=20.0, amount=30.0, open_rate=2.0, - open_date=datetime.utcnow() - timedelta(hours=0, minutes=10), + open_date=datetime.utcnow() - timedelta(minutes=minutes), fee_open=fee.return_value, fee_close=fee.return_value, - exchange='binance', - leverage=3.0, - interest_rate=0.0005, + exchange=exchange, + leverage=lev, + interest_rate=rate, + is_short=is_short ) - # 10min, 3x leverage - # binance - assert round(float(trade.calculate_interest()), 8) == round(0.0008333333333333334, 8) - # kraken - trade.exchange = "kraken" - assert float(trade.calculate_interest()) == 0.040 - # Short - trade.is_short = True - trade.recalc_open_trade_value() - # binace - trade.exchange = "binance" - assert float(trade.calculate_interest()) == 0.000625 - # kraken - trade.exchange = "kraken" - assert isclose(float(trade.calculate_interest()), 0.030) - - # 5hr, long - trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55) - trade.is_short = False - trade.recalc_open_trade_value() - # binance - trade.exchange = "binance" - assert round(float(trade.calculate_interest()), 8) == round(0.004166666666666667, 8) - # kraken - trade.exchange = "kraken" - assert float(trade.calculate_interest()) == 0.06 - # short - trade.is_short = True - trade.recalc_open_trade_value() - # binace - trade.exchange = "binance" - assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8) - # kraken - trade.exchange = "kraken" - assert float(trade.calculate_interest()) == 0.045 - - # 0.00025 interest, 5hr, long - trade.is_short = False - trade.recalc_open_trade_value() - # binance - trade.exchange = "binance" - assert round(float(trade.calculate_interest(interest_rate=0.00025)), - 8) == round(0.0020833333333333333, 8) - # kraken - trade.exchange = "kraken" - assert isclose(float(trade.calculate_interest(interest_rate=0.00025)), 0.03) - # short - trade.is_short = True - trade.recalc_open_trade_value() - # binace - trade.exchange = "binance" - assert round(float(trade.calculate_interest(interest_rate=0.00025)), - 8) == round(0.0015624999999999999, 8) - # kraken - trade.exchange = "kraken" - assert float(trade.calculate_interest(interest_rate=0.00025)) == 0.0225 - - # 5x leverage, 0.0005 interest, 5hr, long - trade.is_short = False - trade.recalc_open_trade_value() - trade.leverage = 5.0 - # binance - trade.exchange = "binance" - assert round(float(trade.calculate_interest()), 8) == 0.005 - # kraken - trade.exchange = "kraken" - assert float(trade.calculate_interest()) == round(0.07200000000000001, 8) - # short - trade.is_short = True - trade.recalc_open_trade_value() - # binace - trade.exchange = "binance" - assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8) - # kraken - trade.exchange = "kraken" - assert float(trade.calculate_interest()) == 0.045 - - # 1x leverage, 0.0005 interest, 5hr - trade.is_short = False - trade.recalc_open_trade_value() - trade.leverage = 1.0 - # binance - trade.exchange = "binance" - assert float(trade.calculate_interest()) == 0.0 - # kraken - trade.exchange = "kraken" - assert float(trade.calculate_interest()) == 0.0 - # short - trade.is_short = True - trade.recalc_open_trade_value() - # binace - trade.exchange = "binance" - assert float(trade.calculate_interest()) == 0.003125 - # kraken - trade.exchange = "kraken" - assert float(trade.calculate_interest()) == 0.045 + assert round(float(trade.calculate_interest()), 8) == interest +@pytest.mark.parametrize('is_short,lev,borrowed', [ + (False, 1.0, 0.0), + (True, 1.0, 30.0), + (False, 3.0, 40.0), + (True, 3.0, 30.0), +]) @pytest.mark.usefixtures("init_persistence") -def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee, caplog): +def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee, + caplog, is_short, lev, borrowed): """ 10 minute limit trade on Binance/Kraken at 1x, 3x leverage fee: 0.25% quote @@ -411,20 +346,19 @@ def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee, caplog): fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', + is_short=is_short, + leverage=lev ) - assert trade.borrowed == 0 - trade.is_short = True - trade.recalc_open_trade_value() - assert trade.borrowed == 30.0 - trade.leverage = 3.0 - assert trade.borrowed == 30.0 - trade.is_short = False - trade.recalc_open_trade_value() - assert trade.borrowed == 40.0 + assert trade.borrowed == borrowed +@pytest.mark.parametrize('is_short,open_rate,close_rate,lev,profit', [ + (False, 2.0, 2.2, 1.0, round(0.0945137157107232, 8)), + (True, 2.2, 2.0, 3.0, round(0.2589996297562085, 8)) +]) @pytest.mark.usefixtures("init_persistence") -def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, caplog): +def test_update_limit_order(fee, caplog, limit_buy_order_usdt, limit_sell_order_usdt, + is_short, open_rate, close_rate, lev, profit): """ 10 minute limit trade on Binance/Kraken at 1x, 3x leverage fee: 0.25% quote @@ -494,84 +428,52 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca """ + enter_order = limit_sell_order_usdt if is_short else limit_buy_order_usdt + exit_order = limit_buy_order_usdt if is_short else limit_sell_order_usdt + enter_side, exit_side = get_sides(is_short) + trade = Trade( id=2, pair='ADA/USDT', stake_amount=60.0, - open_rate=2.0, - amount=30.0, - is_open=True, - open_date=arrow.utcnow().datetime, - fee_open=fee.return_value, - fee_close=fee.return_value, - exchange='binance' - ) - assert trade.open_order_id is None - assert trade.close_profit is None - assert trade.close_date is None - - trade.open_order_id = 'something' - trade.update(limit_buy_order_usdt) - assert trade.open_order_id is None - assert trade.open_rate == 2.00 - assert trade.close_profit is None - assert trade.close_date is None - assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, " - r'pair=ADA/USDT, amount=30.00000000, ' - r"is_short=False, leverage=1.0, open_rate=2.00000000, open_since=.*\).", - caplog) - - caplog.clear() - trade.open_order_id = 'something' - trade.update(limit_sell_order_usdt) - assert trade.open_order_id is None - assert trade.close_rate == 2.20 - assert trade.close_profit == round(0.0945137157107232, 8) - assert trade.close_date is not None - assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, " - r"pair=ADA/USDT, amount=30.00000000, " - r"is_short=False, leverage=1.0, open_rate=2.00000000, open_since=.*\).", - caplog) - caplog.clear() - - trade = Trade( - id=226531, - pair='ADA/USDT', - stake_amount=20.0, - open_rate=2.0, + open_rate=open_rate, amount=30.0, is_open=True, open_date=arrow.utcnow().datetime, fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', - is_short=True, - leverage=3.0, + is_short=is_short, interest_rate=0.0005, + leverage=lev ) - trade.open_order_id = 'something' - trade.update(limit_sell_order_usdt) - assert trade.open_order_id is None - assert trade.open_rate == 2.20 assert trade.close_profit is None assert trade.close_date is None - assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=226531, " - r"pair=ADA/USDT, amount=30.00000000, " - r"is_short=True, leverage=3.0, open_rate=2.20000000, open_since=.*\).", - caplog) - caplog.clear() - trade.open_order_id = 'something' - trade.update(limit_buy_order_usdt) + trade.update(enter_order) assert trade.open_order_id is None - assert trade.close_rate == 2.00 - assert trade.close_profit == round(0.2589996297562085, 8) + assert trade.open_rate == open_rate + assert trade.close_profit is None + assert trade.close_date is None + assert log_has_re(f"LIMIT_{enter_side.upper()} has been fulfilled for " + r"Trade\(id=2, pair=ADA/USDT, amount=30.00000000, " + f"is_short={is_short}, leverage={lev}, open_rate={open_rate}0000000, " + r"open_since=.*\).", + caplog) + + caplog.clear() + trade.open_order_id = 'something' + trade.update(exit_order) + assert trade.open_order_id is None + assert trade.close_rate == close_rate + assert trade.close_profit == profit assert trade.close_date is not None - assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=226531, " - r"pair=ADA/USDT, amount=30.00000000, " - r"is_short=True, leverage=3.0, open_rate=2.20000000, open_since=.*\).", + assert log_has_re(f"LIMIT_{exit_side.upper()} has been fulfilled for " + r"Trade\(id=2, pair=ADA/USDT, amount=30.00000000, " + f"is_short={is_short}, leverage={lev}, open_rate={open_rate}0000000, " + r"open_since=.*\).", caplog) caplog.clear() @@ -616,9 +518,21 @@ def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee, caplog) +@pytest.mark.parametrize('exchange,is_short,lev,open_value,close_value,profit,profit_ratio', [ + ("binance", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232), + ("binance", True, 1, 59.850, 66.1663784375, -6.316378437500013, -0.1055368159983292), + ("binance", False, 3, 60.15, 65.83416667, 5.684166670000003, 0.2834995845386534), + ("binance", True, 3, 59.85, 66.1663784375, -6.316378437500013, -0.3166104479949876), + + ("kraken", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232), + ("kraken", True, 1, 59.850, 66.231165, -6.381165, -0.106619298245614), + ("kraken", False, 3, 60.15, 65.795, 5.645, 0.2815461346633419), + ("kraken", True, 3, 59.850, 66.231165, -6.381165000000003, -0.319857894736842), +]) @pytest.mark.usefixtures("init_persistence") -def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee): - trade = Trade( +def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee, exchange, + is_short, lev, open_value, close_value, profit, profit_ratio): + trade: Trade = Trade( pair='ADA/USDT', stake_amount=60.0, open_rate=2.0, @@ -627,55 +541,22 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt interest_rate=0.0005, fee_open=fee.return_value, fee_close=fee.return_value, - exchange='binance', + exchange=exchange, + is_short=is_short, + leverage=lev ) - trade.open_order_id = 'something' + trade.open_order_id = f'something-{is_short}-{lev}-{exchange}' + trade.update(limit_buy_order_usdt) trade.update(limit_sell_order_usdt) - # 1x leverage, binance - assert trade._calc_open_trade_value() == 60.15 - assert isclose(trade.calc_close_trade_value(), 65.835) - assert trade.calc_profit() == 5.685 - assert trade.calc_profit_ratio() == round(0.0945137157107232, 8) - # 3x leverage, binance - trade.leverage = 3 - trade.exchange = "binance" - assert trade._calc_open_trade_value() == 60.15 - assert round(trade.calc_close_trade_value(), 8) == 65.83416667 - assert trade.calc_profit() == round(5.684166670000003, 8) - assert trade.calc_profit_ratio() == round(0.2834995845386534, 8) - trade.exchange = "kraken" - # 3x leverage, kraken - assert trade._calc_open_trade_value() == 60.15 - assert trade.calc_close_trade_value() == 65.795 - assert trade.calc_profit() == 5.645 - assert trade.calc_profit_ratio() == round(0.2815461346633419, 8) - trade.is_short = True + trade.open_rate = 2.0 + trade.close_rate = 2.2 trade.recalc_open_trade_value() - # 3x leverage, short, kraken - assert trade._calc_open_trade_value() == 59.850 - assert trade.calc_close_trade_value() == 66.231165 - assert trade.calc_profit() == round(-6.381165000000003, 8) - assert trade.calc_profit_ratio() == round(-0.319857894736842, 8) - trade.exchange = "binance" - # 3x leverage, short, binance - assert trade._calc_open_trade_value() == 59.85 - assert trade.calc_close_trade_value() == 66.1663784375 - assert trade.calc_profit() == round(-6.316378437500013, 8) - assert trade.calc_profit_ratio() == round(-0.3166104479949876, 8) - # 1x leverage, short, binance - trade.leverage = 1.0 - assert trade._calc_open_trade_value() == 59.850 - assert trade.calc_close_trade_value() == 66.1663784375 - assert trade.calc_profit() == round(-6.316378437500013, 8) - assert trade.calc_profit_ratio() == round(-0.1055368159983292, 8) - # 1x leverage, short, kraken - trade.exchange = "kraken" - assert trade._calc_open_trade_value() == 59.850 - assert trade.calc_close_trade_value() == 66.231165 - assert trade.calc_profit() == -6.381165 - assert trade.calc_profit_ratio() == round(-0.106619298245614, 8) + assert isclose(trade._calc_open_trade_value(), open_value) + assert isclose(trade.calc_close_trade_value(), close_value) + assert isclose(trade.calc_profit(), round(profit, 8)) + assert isclose(trade.calc_profit_ratio(), round(profit_ratio, 8)) @pytest.mark.usefixtures("init_persistence") @@ -766,8 +647,27 @@ def test_update_invalid_order(limit_buy_order_usdt): trade.update(limit_buy_order_usdt) +@pytest.mark.parametrize('exchange', ['binance', 'kraken']) +@pytest.mark.parametrize('lev', [1, 3]) +@pytest.mark.parametrize('is_short,fee_rate,result', [ + (False, 0.003, 60.18), + (False, 0.0025, 60.15), + (False, 0.003, 60.18), + (False, 0.0025, 60.15), + (True, 0.003, 59.82), + (True, 0.0025, 59.85), + (True, 0.003, 59.82), + (True, 0.0025, 59.85) +]) @pytest.mark.usefixtures("init_persistence") -def test_calc_open_trade_value(limit_buy_order_usdt, fee): +def test_calc_open_trade_value( + limit_buy_order_usdt, + exchange, + lev, + is_short, + fee_rate, + result +): # 10 minute limit trade on Binance/Kraken at 1x, 3x leverage # fee: 0.25 %, 0.3% quote # open_rate: 2.00 quote @@ -787,90 +687,104 @@ def test_calc_open_trade_value(limit_buy_order_usdt, fee): stake_amount=60.0, amount=30.0, open_rate=2.0, - fee_open=fee.return_value, - fee_close=fee.return_value, - exchange='binance', + open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10), + fee_open=fee_rate, + fee_close=fee_rate, + exchange=exchange, + leverage=lev, + is_short=is_short ) trade.open_order_id = 'open_trade' - trade.update(limit_buy_order_usdt) # Get the open rate price with the standard fee rate - assert trade._calc_open_trade_value() == 60.15 - trade.is_short = True - trade.recalc_open_trade_value() - assert trade._calc_open_trade_value() == 59.85 - trade.leverage = 3 - trade.exchange = "binance" - assert trade._calc_open_trade_value() == 59.85 - trade.is_short = False - trade.recalc_open_trade_value() - assert trade._calc_open_trade_value() == 60.15 - - # Get the open rate price with a custom fee rate - trade.fee_open = 0.003 - - assert trade._calc_open_trade_value() == 60.18 - trade.is_short = True - trade.recalc_open_trade_value() - assert trade._calc_open_trade_value() == 59.82 + assert trade._calc_open_trade_value() == result +@pytest.mark.parametrize('exchange,is_short,lev,open_rate,close_rate,fee_rate,result', [ + ('binance', False, 1, 2.0, 2.5, 0.0025, 74.8125), + ('binance', False, 1, 2.0, 2.5, 0.003, 74.775), + ('binance', False, 1, 2.0, 2.2, 0.005, 65.67), + ('binance', False, 3, 2.0, 2.5, 0.0025, 74.81166667), + ('binance', False, 3, 2.0, 2.5, 0.003, 74.77416667), + ('kraken', False, 3, 2.0, 2.5, 0.0025, 74.7725), + ('kraken', False, 3, 2.0, 2.5, 0.003, 74.735), + ('kraken', True, 3, 2.2, 2.5, 0.0025, 75.2626875), + ('kraken', True, 3, 2.2, 2.5, 0.003, 75.300225), + ('binance', True, 3, 2.2, 2.5, 0.0025, 75.18906641), + ('binance', True, 3, 2.2, 2.5, 0.003, 75.22656719), + ('binance', True, 1, 2.2, 2.5, 0.0025, 75.18906641), + ('binance', True, 1, 2.2, 2.5, 0.003, 75.22656719), + ('kraken', True, 1, 2.2, 2.5, 0.0025, 75.2626875), + ('kraken', True, 1, 2.2, 2.5, 0.003, 75.300225), +]) @pytest.mark.usefixtures("init_persistence") -def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee): +def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, open_rate, + exchange, is_short, lev, close_rate, fee_rate, result): trade = Trade( pair='ADA/USDT', stake_amount=60.0, amount=30.0, - open_rate=2.0, + open_rate=open_rate, open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10), - fee_open=fee.return_value, - fee_close=fee.return_value, - exchange='binance', + fee_open=fee_rate, + fee_close=fee_rate, + exchange=exchange, interest_rate=0.0005, + is_short=is_short, + leverage=lev ) trade.open_order_id = 'close_trade' - trade.update(limit_buy_order_usdt) - - # 1x leverage binance - assert trade.calc_close_trade_value(rate=2.5) == 74.8125 - assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 74.775 - trade.update(limit_sell_order_usdt) - assert trade.calc_close_trade_value(fee=0.005) == 65.67 - - # 3x leverage binance - trade.leverage = 3.0 - assert round(trade.calc_close_trade_value(rate=2.5), 8) == 74.81166667 - assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 74.77416667 - - # 3x leverage kraken - trade.exchange = "kraken" - assert trade.calc_close_trade_value(rate=2.5) == 74.7725 - assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 74.735 - - # 3x leverage kraken, short - trade.is_short = True - trade.recalc_open_trade_value() - assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.2626875 - assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 75.300225 - - # 3x leverage binance, short - trade.exchange = "binance" - assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.18906641 - assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 75.22656719 - - trade.leverage = 1.0 - # 1x leverage binance, short - assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.18906641 - assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 75.22656719 - - # 1x leverage kraken, short - trade.exchange = "kraken" - assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.2626875 - assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 75.300225 + assert round(trade.calc_close_trade_value(rate=close_rate, fee=fee_rate), 8) == result +@pytest.mark.parametrize('exchange,is_short,lev,close_rate,fee_close,profit,profit_ratio', [ + ('binance', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673), + ('binance', False, 3, 2.1, 0.0025, 2.69166667, 0.13424771421446402), + ('binance', True, 1, 2.1, 0.0025, -3.308815781249997, -0.05528514254385963), + ('binance', True, 3, 2.1, 0.0025, -3.308815781249997, -0.1658554276315789), + + ('binance', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632), + ('binance', False, 3, 1.9, 0.0025, -3.29333333, -0.16425602643391513), + ('binance', True, 1, 1.9, 0.0025, 2.7063095312499996, 0.045218204365079395), + ('binance', True, 3, 1.9, 0.0025, 2.7063095312499996, 0.13565461309523819), + + ('binance', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232), + ('binance', False, 3, 2.2, 0.0025, 5.68416667, 0.2834995845386534), + ('binance', True, 1, 2.2, 0.0025, -6.316378437499999, -0.1055368159983292), + ('binance', True, 3, 2.2, 0.0025, -6.316378437499999, -0.3166104479949876), + + ('kraken', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673), + ('kraken', False, 3, 2.1, 0.0025, 2.6525, 0.13229426433915248), + ('kraken', True, 1, 2.1, 0.0025, -3.3706575, -0.05631842105263152), + ('kraken', True, 3, 2.1, 0.0025, -3.3706575, -0.16895526315789455), + + ('kraken', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632), + ('kraken', False, 3, 1.9, 0.0025, -3.3325, -0.16620947630922667), + ('kraken', True, 1, 1.9, 0.0025, 2.6503575, 0.04428333333333334), + ('kraken', True, 3, 1.9, 0.0025, 2.6503575, 0.13285000000000002), + + ('kraken', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232), + ('kraken', False, 3, 2.2, 0.0025, 5.645, 0.2815461346633419), + ('kraken', True, 1, 2.2, 0.0025, -6.381165, -0.106619298245614), + ('kraken', True, 3, 2.2, 0.0025, -6.381165, -0.319857894736842), + + ('binance', False, 1, 2.1, 0.003, 2.6610000000000014, 0.04423940149625927), + ('binance', False, 1, 1.9, 0.003, -3.320999999999998, -0.05521197007481293), + ('binance', False, 1, 2.2, 0.003, 5.652000000000008, 0.09396508728179565), +]) @pytest.mark.usefixtures("init_persistence") -def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee): +def test_calc_profit( + limit_buy_order_usdt, + limit_sell_order_usdt, + fee, + exchange, + is_short, + lev, + close_rate, + fee_close, + profit, + profit_ratio +): """ 10 minute limit trade on Binance/Kraken at 1x, 3x leverage arguments: @@ -1007,198 +921,16 @@ def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee): open_rate=2.0, open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10), interest_rate=0.0005, - fee_open=fee.return_value, - fee_close=fee.return_value, - exchange='binance' + exchange=exchange, + is_short=is_short, + leverage=lev, + fee_open=0.0025, + fee_close=fee_close ) trade.open_order_id = 'something' - trade.update(limit_buy_order_usdt) # Buy @ 2.0 - # 1x Leverage, long - # Custom closing rate and regular fee rate - # Higher than open rate - 2.1 quote - assert trade.calc_profit(rate=2.1) == 2.6925 - # Lower than open rate - 1.9 quote - assert trade.calc_profit(rate=1.9) == round(-3.292499999999997, 8) - - # fee 0.003 - # Higher than open rate - 2.1 quote - assert trade.calc_profit(rate=2.1, fee=0.003) == 2.661 - # Lower than open rate - 1.9 quote - assert trade.calc_profit(rate=1.9, fee=0.003) == round(-3.320999999999998, 8) - - # Test when we apply a Sell order. Sell higher than open rate @ 2.2 - trade.update(limit_sell_order_usdt) - assert trade.calc_profit() == round(5.684999999999995, 8) - - # Test with a custom fee rate on the close trade - assert trade.calc_profit(fee=0.003) == round(5.652000000000008, 8) - - trade.open_trade_value = 0.0 - trade.open_trade_value = trade._calc_open_trade_value() - - # 3x leverage, long ################################################### - trade.leverage = 3.0 - # Higher than open rate - 2.1 quote - trade.exchange = "binance" # binance - assert trade.calc_profit(rate=2.1, fee=0.0025) == 2.69166667 - trade.exchange = "kraken" - assert trade.calc_profit(rate=2.1, fee=0.0025) == 2.6525 - - # 1.9 quote - trade.exchange = "binance" # binance - assert trade.calc_profit(rate=1.9, fee=0.0025) == -3.29333333 - trade.exchange = "kraken" - assert trade.calc_profit(rate=1.9, fee=0.0025) == -3.3325 - - # 2.2 quote - trade.exchange = "binance" # binance - assert trade.calc_profit(fee=0.0025) == 5.68416667 - trade.exchange = "kraken" - assert trade.calc_profit(fee=0.0025) == 5.645 - - # 3x leverage, short ################################################### - trade.is_short = True - trade.recalc_open_trade_value() - # 2.1 quote - Higher than open rate - trade.exchange = "binance" # binance - assert trade.calc_profit(rate=2.1, fee=0.0025) == round(-3.308815781249997, 8) - trade.exchange = "kraken" - assert trade.calc_profit(rate=2.1, fee=0.0025) == -3.3706575 - - # 1.9 quote - Lower than open rate - trade.exchange = "binance" # binance - assert trade.calc_profit(rate=1.9, fee=0.0025) == round(2.7063095312499996, 8) - trade.exchange = "kraken" - assert trade.calc_profit(rate=1.9, fee=0.0025) == 2.6503575 - - # Test when we apply a Sell order. Uses sell order used above - trade.exchange = "binance" # binance - assert trade.calc_profit(fee=0.0025) == round(-6.316378437499999, 8) - trade.exchange = "kraken" - assert trade.calc_profit(fee=0.0025) == -6.381165 - - # 1x leverage, short ################################################### - trade.leverage = 1.0 - # 2.1 quote - Higher than open rate - trade.exchange = "binance" # binance - assert trade.calc_profit(rate=2.1, fee=0.0025) == round(-3.308815781249997, 8) - trade.exchange = "kraken" - assert trade.calc_profit(rate=2.1, fee=0.0025) == -3.3706575 - - # 1.9 quote - Lower than open rate - trade.exchange = "binance" # binance - assert trade.calc_profit(rate=1.9, fee=0.0025) == round(2.7063095312499996, 8) - trade.exchange = "kraken" - assert trade.calc_profit(rate=1.9, fee=0.0025) == 2.6503575 - - # Test when we apply a Sell order. Uses sell order used above - trade.exchange = "binance" # binance - assert trade.calc_profit(fee=0.0025) == round(-6.316378437499999, 8) - trade.exchange = "kraken" - assert trade.calc_profit(fee=0.0025) == -6.381165 - - -@pytest.mark.usefixtures("init_persistence") -def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee): - trade = Trade( - pair='ADA/USDT', - stake_amount=60.0, - amount=30.0, - open_rate=2.0, - open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10), - interest_rate=0.0005, - fee_open=fee.return_value, - fee_close=fee.return_value, - exchange='binance' - ) - trade.open_order_id = 'something' - trade.update(limit_buy_order_usdt) # Buy @ 2.0 - - # 1x Leverage, long - # Custom closing rate and regular fee rate - # Higher than open rate - 2.1 quote - assert trade.calc_profit_ratio(rate=2.1) == round(0.04476309226932673, 8) - # Lower than open rate - 1.9 quote - assert trade.calc_profit_ratio(rate=1.9) == round(-0.05473815461346632, 8) - - # fee 0.003 - # Higher than open rate - 2.1 quote - assert trade.calc_profit_ratio(rate=2.1, fee=0.003) == round(0.04423940149625927, 8) - # Lower than open rate - 1.9 quote - assert trade.calc_profit_ratio(rate=1.9, fee=0.003) == round(-0.05521197007481293, 8) - - # Test when we apply a Sell order. Sell higher than open rate @ 2.2 - trade.update(limit_sell_order_usdt) - assert trade.calc_profit_ratio() == round(0.0945137157107232, 8) - - # Test with a custom fee rate on the close trade - assert trade.calc_profit_ratio(fee=0.003) == round(0.09396508728179565, 8) - - trade.open_trade_value = 0.0 - assert trade.calc_profit_ratio(fee=0.003) == 0.0 - trade.open_trade_value = trade._calc_open_trade_value() - - # 3x leverage, long ################################################### - trade.leverage = 3.0 - # 2.1 quote - Higher than open rate - trade.exchange = "binance" # binance - assert trade.calc_profit_ratio(rate=2.1) == round(0.13424771421446402, 8) - trade.exchange = "kraken" - assert trade.calc_profit_ratio(rate=2.1) == round(0.13229426433915248, 8) - - # 1.9 quote - Lower than open rate - trade.exchange = "binance" # binance - assert trade.calc_profit_ratio(rate=1.9) == round(-0.16425602643391513, 8) - trade.exchange = "kraken" - assert trade.calc_profit_ratio(rate=1.9) == round(-0.16620947630922667, 8) - - # Test when we apply a Sell order. Uses sell order used above - trade.exchange = "binance" # binance - assert trade.calc_profit_ratio() == round(0.2834995845386534, 8) - trade.exchange = "kraken" - assert trade.calc_profit_ratio() == round(0.2815461346633419, 8) - - # 3x leverage, short ################################################### - trade.is_short = True - trade.recalc_open_trade_value() - # 2.1 quote - Higher than open rate - trade.exchange = "binance" # binance - assert trade.calc_profit_ratio(rate=2.1) == round(-0.1658554276315789, 8) - trade.exchange = "kraken" - assert trade.calc_profit_ratio(rate=2.1) == round(-0.16895526315789455, 8) - - # 1.9 quote - Lower than open rate - trade.exchange = "binance" # binance - assert trade.calc_profit_ratio(rate=1.9) == round(0.13565461309523819, 8) - trade.exchange = "kraken" - assert trade.calc_profit_ratio(rate=1.9) == round(0.13285000000000002, 8) - - # Test when we apply a Sell order. Uses sell order used above - trade.exchange = "binance" # binance - assert trade.calc_profit_ratio() == round(-0.3166104479949876, 8) - trade.exchange = "kraken" - assert trade.calc_profit_ratio() == round(-0.319857894736842, 8) - - # 1x leverage, short ################################################### - trade.leverage = 1.0 - # 2.1 quote - Higher than open rate - trade.exchange = "binance" # binance - assert trade.calc_profit_ratio(rate=2.1) == round(-0.05528514254385963, 8) - trade.exchange = "kraken" - assert trade.calc_profit_ratio(rate=2.1) == round(-0.05631842105263152, 8) - - # 1.9 quote - Lower than open rate - trade.exchange = "binance" - assert trade.calc_profit_ratio(rate=1.9) == round(0.045218204365079395, 8) - trade.exchange = "kraken" - assert trade.calc_profit_ratio(rate=1.9) == round(0.04428333333333334, 8) - - # Test when we apply a Sell order. Uses sell order used above - trade.exchange = "binance" - assert trade.calc_profit_ratio() == round(-0.1055368159983292, 8) - trade.exchange = "kraken" - assert trade.calc_profit_ratio() == round(-0.106619298245614, 8) + assert trade.calc_profit(rate=close_rate) == round(profit, 8) + assert trade.calc_profit_ratio(rate=close_rate) == round(profit_ratio, 8) @pytest.mark.usefixtures("init_persistence")