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made leveraged test names unique

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test_adjust_stop_loss_short, test_update_market_order_shortpasses
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Sam Germain
2021-07-05 22:01:46 -06:00
parent 286427c04a
commit 0bd71f87d0
3 changed files with 36 additions and 36 deletions
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tests/persistence/test_persistence.py Normal file
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import logging
from datetime import datetime, timedelta, timezone
from pathlib import Path
from types import FunctionType
from unittest.mock import MagicMock
import arrow
import pytest
from math import isclose
from sqlalchemy import create_engine, inspect, text
from freqtrade import constants
from freqtrade.enums import InterestMode
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_with_leverage, log_has, log_has_re
@pytest.mark.usefixtures("init_persistence")
def test_interest_kraken_lev(market_leveraged_buy_order, fee):
"""
Market trade on Kraken at 3x and 5x leverage
Short trade
interest_rate: 0.05%, 0.25% per 4 hrs
open_rate: 0.00004099 base
close_rate: 0.00004173 base
stake_amount: 0.0037707443218227
borrowed: 0.0075414886436454
amount:
275.97543219 crypto
459.95905365 crypto
borrowed:
0.0075414886436454 base
0.0150829772872908 base
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
5 hours = 5/4
interest: borrowed * interest_rate * time-periods
= 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 base
= 0.0075414886436454 * 0.00025 * 5/4 = 2.3567152011391876e-06 base
= 0.0150829772872908 * 0.0005 * 5/4 = 9.42686080455675e-06 base
= 0.0150829772872908 * 0.00025 * 1 = 3.7707443218227e-06 base
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.0037707443218227,
amount=275.97543219,
open_rate=0.00001099,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='kraken',
leverage=3.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
)
# The trades that last 10 minutes do not need to be rounded because they round up to 4 hours on kraken so we can predict the correct value
assert float(trade.calculate_interest()) == 3.7707443218227e-06
trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0)
# The trades that last for 5 hours have to be rounded because the length of time that the test takes will vary every time it runs, so we can't predict the exact value
assert float(round(trade.calculate_interest(interest_rate=0.00025), 11)
) == round(2.3567152011391876e-06, 11)
trade = Trade(
pair='ETH/BTC',
stake_amount=0.0037707443218227,
amount=459.95905365,
open_rate=0.00001099,
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='kraken',
leverage=5.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
)
assert float(round(trade.calculate_interest(), 11)
) == round(9.42686080455675e-06, 11)
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
assert float(trade.calculate_interest(interest_rate=0.00025)) == 3.7707443218227e-06
@pytest.mark.usefixtures("init_persistence")
def test_interest_binance_lev(market_leveraged_buy_order, fee):
"""
Market trade on Kraken at 3x and 5x leverage
Short trade
interest_rate: 0.05%, 0.25% per 4 hrs
open_rate: 0.00001099 base
close_rate: 0.00001173 base
stake_amount: 0.0009999999999226999
borrowed: 0.0019999999998453998
amount:
90.99181073 * leverage(3) = 272.97543219 crypto
90.99181073 * leverage(5) = 454.95905365 crypto
borrowed:
0.0019999999998453998 base
0.0039999999996907995 base
time-periods: 10 minutes(rounds up to 1/24 time-period of 24hrs)
5 hours = 5/24
interest: borrowed * interest_rate * time-periods
= 0.0019999999998453998 * 0.00050 * 1/24 = 4.166666666344583e-08 base
= 0.0019999999998453998 * 0.00025 * 5/24 = 1.0416666665861459e-07 base
= 0.0039999999996907995 * 0.00050 * 5/24 = 4.1666666663445834e-07 base
= 0.0039999999996907995 * 0.00025 * 1/24 = 4.166666666344583e-08 base
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.0009999999999226999,
amount=272.97543219,
open_rate=0.00001099,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
leverage=3.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
)
# The trades that last 10 minutes do not always need to be rounded because they round up to 4 hours on kraken so we can predict the correct value
assert round(float(trade.calculate_interest()), 22) == round(4.166666666344583e-08, 22)
trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0)
# The trades that last for 5 hours have to be rounded because the length of time that the test takes will vary every time it runs, so we can't predict the exact value
assert float(round(trade.calculate_interest(interest_rate=0.00025), 14)
) == round(1.0416666665861459e-07, 14)
trade = Trade(
pair='ETH/BTC',
stake_amount=0.0009999999999226999,
amount=459.95905365,
open_rate=0.00001099,
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
leverage=5.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
)
assert float(round(trade.calculate_interest(), 14)) == round(4.1666666663445834e-07, 14)
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
assert float(round(trade.calculate_interest(interest_rate=0.00025), 22)
) == round(4.166666666344583e-08, 22)
@pytest.mark.usefixtures("init_persistence")
def test_update_open_order_lev(limit_leveraged_buy_order):
trade = Trade(
pair='ETH/BTC',
stake_amount=1.00,
open_rate=0.01,
amount=5,
fee_open=0.1,
fee_close=0.1,
interest_rate=0.0005,
leverage=3.0,
exchange='binance',
interest_mode=InterestMode.HOURSPERDAY
)
assert trade.open_order_id is None
assert trade.close_profit is None
assert trade.close_date is None
limit_leveraged_buy_order['status'] = 'open'
trade.update(limit_leveraged_buy_order)
assert trade.open_order_id is None
assert trade.close_profit is None
assert trade.close_date is None
@pytest.mark.usefixtures("init_persistence")
def test_calc_open_trade_value_lev(market_leveraged_buy_order, fee):
"""
10 minute leveraged market trade on Kraken at 3x leverage
Short trade
fee: 0.25% base
interest_rate: 0.05% per 4 hrs
open_rate: 0.00004099 base
close_rate: 0.00004173 base
amount: 91.99181073 * leverage(3) = 275.97543219 crypto
stake_amount: 0.0037707443218227
borrowed: 0.0075414886436454 base
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
interest: borrowed * interest_rate * time-periods
= 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto
open_value: (amount * open_rate) + (amount * open_rate * fee)
= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
= 0.01134051354788177
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
open_rate=0.00004099,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
interest_rate=0.0005,
exchange='kraken',
leverage=3,
interest_mode=InterestMode.HOURSPER4
)
trade.open_order_id = 'open_trade'
trade.update(market_leveraged_buy_order) # Buy @ 0.00001099
# Get the open rate price with the standard fee rate
assert trade._calc_open_trade_value() == 0.01134051354788177
trade.fee_open = 0.003
# Get the open rate price with a custom fee rate
assert trade._calc_open_trade_value() == 0.011346169664364504
@pytest.mark.usefixtures("init_persistence")
def test_calc_open_close_trade_price_lev(limit_leveraged_buy_order, limit_leveraged_sell_order, fee):
"""
5 hour leveraged trade on Binance
fee: 0.25% base
interest_rate: 0.05% per day
open_rate: 0.00001099 base
close_rate: 0.00001173 base
amount: 272.97543219 crypto
stake_amount: 0.0009999999999226999 base
borrowed: 0.0019999999998453998 base
time-periods: 5 hours(rounds up to 5/24 time-period of 1 day)
interest: borrowed * interest_rate * time-periods
= 0.0019999999998453998 * 0.0005 * 5/24 = 2.0833333331722917e-07 base
open_value: (amount * open_rate) + (amount * open_rate * fee)
= (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025)
= 0.0030074999997675204
close_value: ((amount_closed * close_rate) - (amount_closed * close_rate * fee)) - interest
= (272.97543219 * 0.00001173) - (272.97543219 * 0.00001173 * 0.0025) - 2.0833333331722917e-07
= 0.003193788481706411
total_profit = close_value - open_value
= 0.003193788481706411 - 0.0030074999997675204
= 0.00018628848193889044
total_profit_percentage = total_profit / stake_amount
= 0.00018628848193889054 / 0.0009999999999226999
= 0.18628848195329067
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.0009999999999226999,
open_rate=0.01,
amount=5,
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
)
trade.open_order_id = 'something'
trade.update(limit_leveraged_buy_order)
assert trade._calc_open_trade_value() == 0.00300749999976752
trade.update(limit_leveraged_sell_order)
# Will be slightly different due to slight changes in compilation time, and the fact that interest depends on time
assert round(trade.calc_close_trade_value(), 11) == round(0.003193788481706411, 11)
# Profit in BTC
assert round(trade.calc_profit(), 8) == round(0.00018628848193889054, 8)
# Profit in percent
assert round(trade.calc_profit_ratio(), 8) == round(0.18628848195329067, 8)
@pytest.mark.usefixtures("init_persistence")
def test_trade_close_lev(fee):
"""
5 hour leveraged market trade on Kraken at 3x leverage
fee: 0.25% base
interest_rate: 0.05% per 4 hrs
open_rate: 0.1 base
close_rate: 0.2 base
amount: 5 * leverage(3) = 15 crypto
stake_amount: 0.5
borrowed: 1 base
time-periods: 5/4 periods of 4hrs
interest: borrowed * interest_rate * time-periods
= 1 * 0.0005 * 5/4 = 0.000625 crypto
open_value: (amount * open_rate) + (amount * open_rate * fee)
= (15 * 0.1) + (15 * 0.1 * 0.0025)
= 1.50375
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) - interest
= (15 * 0.2) - (15 * 0.2 * 0.0025) - 0.000625
= 2.9918750000000003
total_profit = close_value - open_value
= 2.9918750000000003 - 1.50375
= 1.4881250000000001
total_profit_percentage = total_profit / stake_amount
= 1.4881250000000001 / 0.5
= 2.9762500000000003
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.5,
open_rate=0.1,
amount=15,
is_open=True,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
exchange='kraken',
leverage=3.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
)
assert trade.close_profit is None
assert trade.close_date is None
assert trade.is_open is True
trade.close(0.2)
assert trade.is_open is False
assert trade.close_profit == round(2.9762500000000003, 8)
assert trade.close_date is not None
# TODO-mg: Remove these comments probably
# new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime,
# assert trade.close_date != new_date
# # Close should NOT update close_date if the trade has been closed already
# assert trade.is_open is False
# trade.close_date = new_date
# trade.close(0.02)
# assert trade.close_date == new_date
@pytest.mark.usefixtures("init_persistence")
def test_calc_close_trade_price_lev(market_leveraged_buy_order, market_leveraged_sell_order, fee):
"""
10 minute leveraged market trade on Kraken at 3x leverage
Short trade
fee: 0.25% base
interest_rate: 0.05% per 4 hrs
open_rate: 0.00004099 base
close_rate: 0.00004173 base
amount: 91.99181073 * leverage(3) = 275.97543219 crypto
stake_amount: 0.0037707443218227
borrowed: 0.0075414886436454 base
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
interest: borrowed * interest_rate * time-periods
= 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto
open_value: (amount * open_rate) + (amount * open_rate * fee)
= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
= 0.01134051354788177
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
= (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.0025) - 3.7707443218227e-06 = 0.003393252246819716
= (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.003) - 3.7707443218227e-06 = 0.003391549478403104
= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.005) - 3.7707443218227e-06 = 0.011455101767040435
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.0037707443218227,
amount=5,
open_rate=0.00004099,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
interest_rate=0.0005,
leverage=3.0,
exchange='kraken',
interest_mode=InterestMode.HOURSPER4
)
trade.open_order_id = 'close_trade'
trade.update(market_leveraged_buy_order) # Buy @ 0.00001099
# Get the close rate price with a custom close rate and a regular fee rate
assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.003393252246819716)
# Get the close rate price with a custom close rate and a custom fee rate
assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.003391549478403104)
# Test when we apply a Sell order, and ask price with a custom fee rate
trade.update(market_leveraged_sell_order)
assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011455101767040435)
@pytest.mark.usefixtures("init_persistence")
def test_update_limit_order_lev(limit_leveraged_buy_order, limit_leveraged_sell_order, fee, caplog):
"""
10 minute leveraged limit trade on binance at 3x leverage
Leveraged trade
fee: 0.25% base
interest_rate: 0.05% per day
open_rate: 0.00001099 base
close_rate: 0.00001173 base
amount: 272.97543219 crypto
stake_amount: 0.0009999999999226999 base
borrowed: 0.0019999999998453998 base
time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
interest: borrowed * interest_rate * time-periods
= 0.0019999999998453998 * 0.0005 * 1/24 = 4.166666666344583e-08 base
open_value: (amount * open_rate) + (amount * open_rate * fee)
= (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025)
= 0.0030074999997675204
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee)
= (272.97543219 * 0.00001173) - (272.97543219 * 0.00001173 * 0.0025)
= 0.003193996815039728
total_profit = close_value - open_value - interest
= 0.003193996815039728 - 0.0030074999997675204 - 4.166666666344583e-08
= 0.00018645514860554435
total_profit_percentage = total_profit / stake_amount
= 0.00018645514860554435 / 0.0009999999999226999
= 0.18645514861995735
"""
trade = Trade(
id=2,
pair='ETH/BTC',
stake_amount=0.0009999999999226999,
open_rate=0.01,
amount=5,
is_open=True,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
leverage=3.0,
interest_rate=0.0005,
exchange='binance',
interest_mode=InterestMode.HOURSPERDAY
)
# 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_leveraged_buy_order)
# assert trade.open_order_id is None
assert trade.open_rate == 0.00001099
assert trade.close_profit is None
assert trade.close_date is None
assert trade.borrowed == 0.0019999999998453998
assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
r"pair=ETH/BTC, amount=272.97543219, open_rate=0.00001099, open_since=.*\).",
caplog)
caplog.clear()
# trade.open_order_id = 'something'
trade.update(limit_leveraged_sell_order)
# assert trade.open_order_id is None
assert trade.close_rate == 0.00001173
assert trade.close_profit == round(0.18645514861995735, 8)
assert trade.close_date is not None
assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
r"pair=ETH/BTC, amount=272.97543219, open_rate=0.00001099, open_since=.*\).",
caplog)
@pytest.mark.usefixtures("init_persistence")
def test_update_market_order_lev(market_leveraged_buy_order, market_leveraged_sell_order, fee, caplog):
"""
10 minute leveraged market trade on Kraken at 3x leverage
Short trade
fee: 0.25% base
interest_rate: 0.05% per 4 hrs
open_rate: 0.00004099 base
close_rate: 0.00004173 base
amount: = 275.97543219 crypto
stake_amount: 0.0037707443218227
borrowed: 0.0075414886436454 base
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
interest: borrowed * interest_rate * time-periods
= 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto
open_value: (amount * open_rate) + (amount * open_rate * fee)
= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
= 0.01134051354788177
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee)
= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025)
= 0.011487663648325479
total_profit = close_value - open_value - interest
= 0.011487663648325479 - 0.01134051354788177 - 3.7707443218227e-06
= 0.0001433793561218866
total_profit_percentage = total_profit / stake_amount
= 0.0001433793561218866 / 0.0037707443218227
= 0.03802415223225211
"""
trade = Trade(
id=1,
pair='ETH/BTC',
stake_amount=0.0037707443218227,
amount=5,
open_rate=0.00004099,
is_open=True,
leverage=3,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
interest_rate=0.0005,
exchange='kraken',
interest_mode=InterestMode.HOURSPER4
)
trade.open_order_id = 'something'
trade.update(market_leveraged_buy_order)
assert trade.leverage == 3.0
assert trade.open_order_id is None
assert trade.open_rate == 0.00004099
assert trade.close_profit is None
assert trade.close_date is None
assert trade.interest_rate == 0.0005
# TODO: Uncomment the next assert and make it work.
# The logger also has the exact same but there's some spacing in there
assert log_has_re(r"MARKET_BUY has been fulfilled for Trade\(id=1, "
r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).",
caplog)
caplog.clear()
trade.is_open = True
trade.open_order_id = 'something'
trade.update(market_leveraged_sell_order)
assert trade.open_order_id is None
assert trade.close_rate == 0.00004173
assert trade.close_profit == round(0.03802415223225211, 8)
assert trade.close_date is not None
# TODO: The amount should maybe be the opening amount + the interest
# TODO: Uncomment the next assert and make it work.
# The logger also has the exact same but there's some spacing in there
assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).",
caplog)
@pytest.mark.usefixtures("init_persistence")
def test_calc_close_trade_price_exception_lev(limit_leveraged_buy_order, fee):
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
open_rate=0.1,
amount=5,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
interest_rate=0.0005,
leverage=3.0,
interest_mode=InterestMode.HOURSPERDAY
)
trade.open_order_id = 'something'
trade.update(limit_leveraged_buy_order)
assert trade.calc_close_trade_value() == 0.0
@pytest.mark.usefixtures("init_persistence")
def test_calc_profit_lev(market_leveraged_buy_order, market_leveraged_sell_order, fee):
"""
# TODO: Update this one
Leveraged trade on Kraken at 3x leverage
fee: 0.25% base or 0.3%
interest_rate: 0.05%, 0.25% per 4 hrs
open_rate: 0.00004099 base
close_rate: 0.00004173 base
stake_amount: 0.0037707443218227
amount: 91.99181073 * leverage(3) = 275.97543219 crypto
borrowed: 0.0075414886436454 base
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
5 hours = 5/4
interest: borrowed * interest_rate * time-periods
= 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto
= 0.0075414886436454 * 0.00025 * 5/4 = 2.3567152011391876e-06 crypto
= 0.0075414886436454 * 0.0005 * 5/4 = 4.713430402278375e-06 crypto
= 0.0075414886436454 * 0.00025 * 1 = 1.88537216091135e-06 crypto
open_value: (amount * open_rate) + (amount * open_rate * fee)
= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025) = 0.01134051354788177
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
(275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.0025) - 3.7707443218227e-06 = 0.01479007168225405
(275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.0025) - 2.3567152011391876e-06 = 0.001200640891872485
(275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.003) - 4.713430402278375e-06 = 0.014781713536310649
(275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.003) - 1.88537216091135e-06 = 0.0012005092285933775
total_profit = close_value - open_value
= 0.01479007168225405 - 0.01134051354788177 = 0.003449558134372281
= 0.001200640891872485 - 0.01134051354788177 = -0.010139872656009285
= 0.014781713536310649 - 0.01134051354788177 = 0.0034411999884288794
= 0.0012005092285933775 - 0.01134051354788177 = -0.010140004319288392
total_profit_percentage = total_profit / stake_amount
0.003449558134372281/0.0037707443218227 = 0.9148215418394732
-0.010139872656009285/0.0037707443218227 = -2.6890904793852157
0.0034411999884288794/0.0037707443218227 = 0.9126049646255184
-0.010140004319288392/0.0037707443218227 = -2.6891253964381554
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.0037707443218227,
amount=5,
open_rate=0.00004099,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='kraken',
leverage=3.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
)
trade.open_order_id = 'something'
trade.update(market_leveraged_buy_order) # Buy @ 0.00001099
# Custom closing rate and regular fee rate
# Higher than open rate
assert trade.calc_profit(rate=0.00005374, interest_rate=0.0005) == round(
0.003449558134372281, 8)
assert trade.calc_profit_ratio(
rate=0.00005374, interest_rate=0.0005) == round(0.9148215418394732, 8)
# Lower than open rate
trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0)
assert trade.calc_profit(
rate=0.00000437, interest_rate=0.00025) == round(-0.010139872656009285, 8)
assert trade.calc_profit_ratio(
rate=0.00000437, interest_rate=0.00025) == round(-2.6890904793852157, 8)
# Custom closing rate and custom fee rate
# Higher than open rate
assert trade.calc_profit(rate=0.00005374, fee=0.003,
interest_rate=0.0005) == round(0.0034411999884288794, 8)
assert trade.calc_profit_ratio(rate=0.00005374, fee=0.003,
interest_rate=0.0005) == round(0.9126049646255184, 8)
# Lower than open rate
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
assert trade.calc_profit(rate=0.00000437, fee=0.003,
interest_rate=0.00025) == round(-0.010140004319288392, 8)
assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003,
interest_rate=0.00025) == round(-2.6891253964381554, 8)
# Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
trade.update(market_leveraged_sell_order)
assert trade.calc_profit() == round(0.0001433793561218866, 8)
assert trade.calc_profit_ratio() == round(0.03802415223225211, 8)
# Test with a custom fee rate on the close trade
# assert trade.calc_profit(fee=0.003) == 0.00006163
# assert trade.calc_profit_ratio(fee=0.003) == 0.06147824

765
tests/persistence/test_persistence_short.py Normal file
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import logging
from datetime import datetime, timedelta, timezone
from pathlib import Path
from types import FunctionType
from unittest.mock import MagicMock
import arrow
import pytest
from math import isclose
from sqlalchemy import create_engine, inspect, text
from freqtrade import constants
from freqtrade.enums import InterestMode
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_with_leverage, log_has, log_has_re
@pytest.mark.usefixtures("init_persistence")
def test_interest_kraken_short(market_short_order, fee):
"""
Market trade on Kraken at 3x and 8x leverage
Short trade
interest_rate: 0.05%, 0.25% per 4 hrs
open_rate: 0.00004173 base
close_rate: 0.00004099 base
amount:
275.97543219 crypto
459.95905365 crypto
borrowed:
275.97543219 crypto
459.95905365 crypto
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
5 hours = 5/4
interest: borrowed * interest_rate * time-periods
= 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto
= 275.97543219 * 0.00025 * 5/4 = 0.086242322559375 crypto
= 459.95905365 * 0.0005 * 5/4 = 0.28747440853125 crypto
= 459.95905365 * 0.00025 * 1 = 0.1149897634125 crypto
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=275.97543219,
open_rate=0.00001099,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='kraken',
is_short=True,
leverage=3.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
)
assert float(round(trade.calculate_interest(), 8)) == round(0.137987716095, 8)
trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0)
assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)
) == round(0.086242322559375, 8)
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=459.95905365,
open_rate=0.00001099,
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='kraken',
is_short=True,
leverage=5.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
)
assert float(round(trade.calculate_interest(), 8)) == round(0.28747440853125, 8)
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)
) == round(0.1149897634125, 8)
@ pytest.mark.usefixtures("init_persistence")
def test_interest_binance_short(market_short_order, fee):
"""
Market trade on Binance at 3x and 5x leverage
Short trade
interest_rate: 0.05%, 0.25% per 1 day
open_rate: 0.00004173 base
close_rate: 0.00004099 base
amount:
91.99181073 * leverage(3) = 275.97543219 crypto
91.99181073 * leverage(5) = 459.95905365 crypto
borrowed:
275.97543219 crypto
459.95905365 crypto
time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
5 hours = 5/24
interest: borrowed * interest_rate * time-periods
= 275.97543219 * 0.0005 * 1/24 = 0.005749488170625 crypto
= 275.97543219 * 0.00025 * 5/24 = 0.0143737204265625 crypto
= 459.95905365 * 0.0005 * 5/24 = 0.047912401421875 crypto
= 459.95905365 * 0.00025 * 1/24 = 0.0047912401421875 crypto
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=275.97543219,
open_rate=0.00001099,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
is_short=True,
leverage=3.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
)
assert float(round(trade.calculate_interest(), 8)) == 0.00574949
trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0)
assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)) == 0.01437372
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=459.95905365,
open_rate=0.00001099,
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
is_short=True,
leverage=5.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
)
assert float(round(trade.calculate_interest(), 8)) == 0.04791240
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)) == 0.00479124
@ pytest.mark.usefixtures("init_persistence")
def test_calc_open_trade_value_short(market_short_order, fee):
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
open_rate=0.00004173,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
interest_rate=0.0005,
is_short=True,
leverage=3.0,
exchange='kraken',
interest_mode=InterestMode.HOURSPER4
)
trade.open_order_id = 'open_trade'
trade.update(market_short_order) # Buy @ 0.00001099
# Get the open rate price with the standard fee rate
assert trade._calc_open_trade_value() == 0.011487663648325479
trade.fee_open = 0.003
# Get the open rate price with a custom fee rate
assert trade._calc_open_trade_value() == 0.011481905420932834
@ pytest.mark.usefixtures("init_persistence")
def test_update_open_order_short(limit_short_order):
trade = Trade(
pair='ETH/BTC',
stake_amount=1.00,
open_rate=0.01,
amount=5,
leverage=3.0,
fee_open=0.1,
fee_close=0.1,
interest_rate=0.0005,
is_short=True,
exchange='binance',
interest_mode=InterestMode.HOURSPERDAY
)
assert trade.open_order_id is None
assert trade.close_profit is None
assert trade.close_date is None
limit_short_order['status'] = 'open'
trade.update(limit_short_order)
assert trade.open_order_id is None
assert trade.close_profit is None
assert trade.close_date is None
@ pytest.mark.usefixtures("init_persistence")
def test_calc_close_trade_price_exception_short(limit_short_order, fee):
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
open_rate=0.1,
amount=15.0,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
interest_rate=0.0005,
leverage=3.0,
is_short=True,
interest_mode=InterestMode.HOURSPERDAY
)
trade.open_order_id = 'something'
trade.update(limit_short_order)
assert trade.calc_close_trade_value() == 0.0
@ pytest.mark.usefixtures("init_persistence")
def test_calc_close_trade_price_short(market_short_order, market_exit_short_order, fee):
"""
10 minute short market trade on Kraken at 3x leverage
Short trade
fee: 0.25% base
interest_rate: 0.05% per 4 hrs
open_rate: 0.00004173 base
close_rate: 0.00001234 base
amount: = 275.97543219 crypto
borrowed: 275.97543219 crypto
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
interest: borrowed * interest_rate * time-periods
= 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto
amount_closed: amount + interest = 275.97543219 + 0.137987716095 = 276.113419906095
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
= (276.113419906095 * 0.00001234) + (276.113419906095 * 0.00001234 * 0.0025)
= 0.01134618380465571
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
open_rate=0.00001099,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
interest_rate=0.0005,
is_short=True,
leverage=3.0,
exchange='kraken',
interest_mode=InterestMode.HOURSPER4
)
trade.open_order_id = 'close_trade'
trade.update(market_short_order) # Buy @ 0.00001099
# Get the close rate price with a custom close rate and a regular fee rate
assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.003415757700645315)
# Get the close rate price with a custom close rate and a custom fee rate
assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.0034174613204461354)
# Test when we apply a Sell order, and ask price with a custom fee rate
trade.update(market_exit_short_order)
assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011374478527360586)
@ pytest.mark.usefixtures("init_persistence")
def test_calc_open_close_trade_price_short(limit_short_order, limit_exit_short_order, fee):
"""
5 hour short trade on Binance
Short trade
fee: 0.25% base
interest_rate: 0.05% per day
open_rate: 0.00001173 base
close_rate: 0.00001099 base
amount: 90.99181073 crypto
borrowed: 90.99181073 crypto
stake_amount: 0.0010673339398629
time-periods: 5 hours = 5/24
interest: borrowed * interest_rate * time-periods
= 90.99181073 * 0.0005 * 5/24 = 0.009478313617708333 crypto
open_value: (amount * open_rate) - (amount * open_rate * fee)
= (90.99181073 * 0.00001173) - (90.99181073 * 0.00001173 * 0.0025)
= 0.0010646656050132426
amount_closed: amount + interest = 90.99181073 + 0.009478313617708333 = 91.0012890436177
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
= (91.0012890436177 * 0.00001099) + (91.0012890436177 * 0.00001099 * 0.0025)
= 0.001002604427005832
total_profit = open_value - close_value
= 0.0010646656050132426 - 0.001002604427005832
= 0.00006206117800741065
total_profit_percentage = (close_value - open_value) / stake_amount
= (0.0010646656050132426 - 0.0010025208853391716)/0.0010673339398629
= 0.05822425142973869
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.0010673339398629,
open_rate=0.01,
amount=5,
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
)
trade.open_order_id = 'something'
trade.update(limit_short_order)
assert trade._calc_open_trade_value() == 0.0010646656050132426
trade.update(limit_exit_short_order)
# Will be slightly different due to slight changes in compilation time, and the fact that interest depends on time
assert round(trade.calc_close_trade_value(), 11) == round(0.001002604427005832, 11)
# Profit in BTC
assert round(trade.calc_profit(), 8) == round(0.00006206117800741065, 8)
# Profit in percent
# assert round(trade.calc_profit_ratio(), 11) == round(0.05822425142973869, 11)
@ pytest.mark.usefixtures("init_persistence")
def test_trade_close_short(fee):
"""
Five hour short trade on Kraken at 3x leverage
Short trade
Exchange: Kraken
fee: 0.25% base
interest_rate: 0.05% per 4 hours
open_rate: 0.02 base
close_rate: 0.01 base
leverage: 3.0
amount: 15 crypto
borrowed: 15 crypto
time-periods: 5 hours = 5/4
interest: borrowed * interest_rate * time-periods
= 15 * 0.0005 * 5/4 = 0.009375 crypto
open_value: (amount * open_rate) - (amount * open_rate * fee)
= (15 * 0.02) - (15 * 0.02 * 0.0025)
= 0.29925
amount_closed: amount + interest = 15 + 0.009375 = 15.009375
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
= (15.009375 * 0.01) + (15.009375 * 0.01 * 0.0025)
= 0.150468984375
total_profit = open_value - close_value
= 0.29925 - 0.150468984375
= 0.148781015625
total_profit_percentage = total_profit / stake_amount
= 0.148781015625 / 0.1
= 1.4878101562500001
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.1,
open_rate=0.02,
amount=15,
is_open=True,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
exchange='kraken',
is_short=True,
leverage=3.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
)
assert trade.close_profit is None
assert trade.close_date is None
assert trade.is_open is True
trade.close(0.01)
assert trade.is_open is False
assert trade.close_profit == round(1.4878101562500001, 8)
assert trade.close_date is not None
# TODO-mg: Remove these comments probably
# new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime,
# assert trade.close_date != new_date
# # Close should NOT update close_date if the trade has been closed already
# assert trade.is_open is False
# trade.close_date = new_date
# trade.close(0.02)
# assert trade.close_date == new_date
@ pytest.mark.usefixtures("init_persistence")
def test_update_with_binance_short(limit_short_order, limit_exit_short_order, fee, caplog):
"""
10 minute short limit trade on binance
Short trade
fee: 0.25% base
interest_rate: 0.05% per day
open_rate: 0.00001173 base
close_rate: 0.00001099 base
amount: 90.99181073 crypto
stake_amount: 0.0010673339398629 base
borrowed: 90.99181073 crypto
time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
interest: borrowed * interest_rate * time-periods
= 90.99181073 * 0.0005 * 1/24 = 0.0018956627235416667 crypto
open_value: (amount * open_rate) - (amount * open_rate * fee)
= 90.99181073 * 0.00001173 - 90.99181073 * 0.00001173 * 0.0025
= 0.0010646656050132426
amount_closed: amount + interest = 90.99181073 + 0.0018956627235416667 = 90.99370639272354
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
= (90.99370639272354 * 0.00001099) + (90.99370639272354 * 0.00001099 * 0.0025)
= 0.0010025208853391716
total_profit = open_value - close_value
= 0.0010646656050132426 - 0.0010025208853391716
= 0.00006214471967407108
total_profit_percentage = (close_value - open_value) / stake_amount
= 0.00006214471967407108 / 0.0010673339398629
= 0.05822425142973869
"""
trade = Trade(
id=2,
pair='ETH/BTC',
stake_amount=0.0010673339398629,
open_rate=0.01,
amount=5,
is_open=True,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
# borrowed=90.99181073,
interest_rate=0.0005,
exchange='binance',
interest_mode=InterestMode.HOURSPERDAY
)
# assert trade.open_order_id is None
assert trade.close_profit is None
assert trade.close_date is None
assert trade.borrowed == 0.0
assert trade.is_short is None
# trade.open_order_id = 'something'
trade.update(limit_short_order)
# assert trade.open_order_id is None
assert trade.open_rate == 0.00001173
assert trade.close_profit is None
assert trade.close_date is None
assert trade.borrowed == 90.99181073
assert trade.is_short is True
assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
caplog)
caplog.clear()
# trade.open_order_id = 'something'
trade.update(limit_exit_short_order)
# assert trade.open_order_id is None
assert trade.close_rate == 0.00001099
assert trade.close_profit == 0.05822425
assert trade.close_date is not None
assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
caplog)
@ pytest.mark.usefixtures("init_persistence")
def test_update_market_order_short(
market_short_order,
market_exit_short_order,
fee,
caplog
):
"""
10 minute short market trade on Kraken at 3x leverage
Short trade
fee: 0.25% base
interest_rate: 0.05% per 4 hrs
open_rate: 0.00004173 base
close_rate: 0.00004099 base
amount: = 275.97543219 crypto
stake_amount: 0.0038388182617629
borrowed: 275.97543219 crypto
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
interest: borrowed * interest_rate * time-periods
= 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto
open_value: (amount * open_rate) - (amount * open_rate * fee)
= 275.97543219 * 0.00004173 - 275.97543219 * 0.00004173 * 0.0025
= 0.011487663648325479
amount_closed: amount + interest = 275.97543219 + 0.137987716095 = 276.113419906095
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
= (276.113419906095 * 0.00004099) + (276.113419906095 * 0.00004099 * 0.0025)
= 0.01134618380465571
total_profit = open_value - close_value
= 0.011487663648325479 - 0.01134618380465571
= 0.00014147984366976937
total_profit_percentage = total_profit / stake_amount
= 0.00014147984366976937 / 0.0038388182617629
= 0.036855051222142936
"""
trade = Trade(
id=1,
pair='ETH/BTC',
stake_amount=0.0038388182617629,
amount=5,
open_rate=0.01,
is_open=True,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
leverage=3.0,
interest_rate=0.0005,
exchange='kraken',
interest_mode=InterestMode.HOURSPER4
)
trade.open_order_id = 'something'
trade.update(market_short_order)
assert trade.leverage == 3.0
assert trade.is_short == True
assert trade.open_order_id is None
assert trade.open_rate == 0.00004173
assert trade.close_profit is None
assert trade.close_date is None
assert trade.interest_rate == 0.0005
# The logger also has the exact same but there's some spacing in there
assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
caplog)
caplog.clear()
trade.is_open = True
trade.open_order_id = 'something'
trade.update(market_exit_short_order)
assert trade.open_order_id is None
assert trade.close_rate == 0.00004099
assert trade.close_profit == 0.03685505
assert trade.close_date is not None
# TODO-mg: The amount should maybe be the opening amount + the interest
# TODO-mg: Uncomment the next assert and make it work.
# The logger also has the exact same but there's some spacing in there
assert log_has_re(r"MARKET_BUY has been fulfilled for Trade\(id=1, "
r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
caplog)
@ pytest.mark.usefixtures("init_persistence")
def test_calc_profit_short(market_short_order, market_exit_short_order, fee):
"""
Market trade on Kraken at 3x leverage
Short trade
fee: 0.25% base or 0.3%
interest_rate: 0.05%, 0.25% per 4 hrs
open_rate: 0.00004173 base
close_rate: 0.00004099 base
stake_amount: 0.0038388182617629
amount: = 275.97543219 crypto
borrowed: 275.97543219 crypto
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
5 hours = 5/4
interest: borrowed * interest_rate * time-periods
= 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto
= 275.97543219 * 0.00025 * 5/4 = 0.086242322559375 crypto
= 275.97543219 * 0.0005 * 5/4 = 0.17248464511875 crypto
= 275.97543219 * 0.00025 * 1 = 0.0689938580475 crypto
open_value: (amount * open_rate) - (amount * open_rate * fee)
= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025) = 0.011487663648325479
amount_closed: amount + interest
= 275.97543219 + 0.137987716095 = 276.113419906095
= 275.97543219 + 0.086242322559375 = 276.06167451255936
= 275.97543219 + 0.17248464511875 = 276.14791683511874
= 275.97543219 + 0.0689938580475 = 276.0444260480475
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
(276.113419906095 * 0.00004374) + (276.113419906095 * 0.00004374 * 0.0025) = 0.012107393989159325
(276.06167451255936 * 0.00000437) + (276.06167451255936 * 0.00000437 * 0.0025) = 0.0012094054914139338
(276.14791683511874 * 0.00004374) + (276.14791683511874 * 0.00004374 * 0.003) = 0.012114946012015198
(276.0444260480475 * 0.00000437) + (276.0444260480475 * 0.00000437 * 0.003) = 0.0012099330842554573
total_profit = open_value - close_value
= print(0.011487663648325479 - 0.012107393989159325) = -0.0006197303408338461
= print(0.011487663648325479 - 0.0012094054914139338) = 0.010278258156911545
= print(0.011487663648325479 - 0.012114946012015198) = -0.0006272823636897188
= print(0.011487663648325479 - 0.0012099330842554573) = 0.010277730564070022
total_profit_percentage = (close_value - open_value) / stake_amount
(0.011487663648325479 - 0.012107393989159325)/0.0038388182617629 = -0.16143779115744006
(0.011487663648325479 - 0.0012094054914139338)/0.0038388182617629 = 2.677453699564163
(0.011487663648325479 - 0.012114946012015198)/0.0038388182617629 = -0.16340506919482353
(0.011487663648325479 - 0.0012099330842554573)/0.0038388182617629 = 2.677316263299785
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.0038388182617629,
amount=5,
open_rate=0.00001099,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='kraken',
is_short=True,
leverage=3.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
)
trade.open_order_id = 'something'
trade.update(market_short_order) # Buy @ 0.00001099
# Custom closing rate and regular fee rate
# Higher than open rate
assert trade.calc_profit(rate=0.00004374, interest_rate=0.0005) == round(-0.00061973, 8)
assert trade.calc_profit_ratio(
rate=0.00004374, interest_rate=0.0005) == round(-0.16143779115744006, 8)
# Lower than open rate
trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0)
assert trade.calc_profit(rate=0.00000437, interest_rate=0.00025) == round(0.01027826, 8)
assert trade.calc_profit_ratio(
rate=0.00000437, interest_rate=0.00025) == round(2.677453699564163, 8)
# Custom closing rate and custom fee rate
# Higher than open rate
assert trade.calc_profit(rate=0.00004374, fee=0.003,
interest_rate=0.0005) == round(-0.00062728, 8)
assert trade.calc_profit_ratio(rate=0.00004374, fee=0.003,
interest_rate=0.0005) == round(-0.16340506919482353, 8)
# Lower than open rate
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
assert trade.calc_profit(rate=0.00000437, fee=0.003,
interest_rate=0.00025) == round(0.01027773, 8)
assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003,
interest_rate=0.00025) == round(2.677316263299785, 8)
# Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
trade.update(market_exit_short_order)
assert trade.calc_profit() == round(0.00014148, 8)
assert trade.calc_profit_ratio() == round(0.03685505, 8)
# Test with a custom fee rate on the close trade
# assert trade.calc_profit(fee=0.003) == 0.00006163
# assert trade.calc_profit_ratio(fee=0.003) == 0.06147824
def test_adjust_stop_loss_short(fee):
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
open_rate=1,
max_rate=1,
is_short=True,
interest_mode=InterestMode.HOURSPERDAY
)
trade.adjust_stop_loss(trade.open_rate, 0.05, True)
assert trade.stop_loss == 1.05
assert trade.stop_loss_pct == 0.05
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
# Get percent of profit with a lower rate
trade.adjust_stop_loss(1.04, 0.05)
assert trade.stop_loss == 1.05
assert trade.stop_loss_pct == 0.05
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
# Get percent of profit with a custom rate (Higher than open rate)
trade.adjust_stop_loss(0.7, 0.1)
# If the price goes down to 0.7, with a trailing stop of 0.1, the new stoploss at 0.1 above 0.7 would be 0.7*0.1 higher
assert round(trade.stop_loss, 8) == 0.77
assert trade.stop_loss_pct == 0.1
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
# current rate lower again ... should not change
trade.adjust_stop_loss(0.8, -0.1)
assert round(trade.stop_loss, 8) == 0.77
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
# current rate higher... should raise stoploss
trade.adjust_stop_loss(0.6, -0.1)
assert round(trade.stop_loss, 8) == 0.66
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
# Initial is true but stop_loss set - so doesn't do anything
trade.adjust_stop_loss(0.3, -0.1, True)
assert round(trade.stop_loss, 8) == 0.66 # TODO-mg: What is this test?
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
assert trade.stop_loss_pct == 0.1
trade.liquidation_price == 1.03
# TODO-mg: Do a test with a trade that has a liquidation price
@ pytest.mark.usefixtures("init_persistence")
@ pytest.mark.parametrize('use_db', [True, False])
def test_get_open_short(fee, use_db):
Trade.use_db = use_db
Trade.reset_trades()
create_mock_trades_with_leverage(fee, use_db)
assert len(Trade.get_open_trades()) == 5
Trade.use_db = True
def test_stoploss_reinitialization_short(default_conf, fee):
# TODO-mg: I don't understand this at all, I was just going in the opposite direction as the matching function form test_persistance.py
init_db(default_conf['db_url'])
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
fee_open=fee.return_value,
open_date=arrow.utcnow().shift(hours=-2).datetime,
amount=10,
fee_close=fee.return_value,
exchange='binance',
open_rate=1,
max_rate=1,
is_short=True,
leverage=3.0,
interest_mode=InterestMode.HOURSPERDAY
)
trade.adjust_stop_loss(trade.open_rate, -0.05, True)
assert trade.stop_loss == 1.05
assert trade.stop_loss_pct == 0.05
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
Trade.query.session.add(trade)
# Lower stoploss
Trade.stoploss_reinitialization(-0.06)
trades = Trade.get_open_trades()
assert len(trades) == 1
trade_adj = trades[0]
assert trade_adj.stop_loss == 1.06
assert trade_adj.stop_loss_pct == 0.06
assert trade_adj.initial_stop_loss == 1.06
assert trade_adj.initial_stop_loss_pct == 0.06
# Raise stoploss
Trade.stoploss_reinitialization(-0.04)
trades = Trade.get_open_trades()
assert len(trades) == 1
trade_adj = trades[0]
assert trade_adj.stop_loss == 1.04
assert trade_adj.stop_loss_pct == 0.04
assert trade_adj.initial_stop_loss == 1.04
assert trade_adj.initial_stop_loss_pct == 0.04
# Trailing stoploss (move stoplos up a bit)
trade.adjust_stop_loss(0.98, -0.04)
assert trade_adj.stop_loss == 1.0208
assert trade_adj.initial_stop_loss == 1.04
Trade.stoploss_reinitialization(-0.04)
trades = Trade.get_open_trades()
assert len(trades) == 1
trade_adj = trades[0]
# Stoploss should not change in this case.
assert trade_adj.stop_loss == 1.0208
assert trade_adj.stop_loss_pct == 0.04
assert trade_adj.initial_stop_loss == 1.04
assert trade_adj.initial_stop_loss_pct == 0.04
@ pytest.mark.usefixtures("init_persistence")
@ pytest.mark.parametrize('use_db', [True, False])
def test_total_open_trades_stakes_short(fee, use_db):
Trade.use_db = use_db
Trade.reset_trades()
res = Trade.total_open_trades_stakes()
assert res == 0
create_mock_trades_with_leverage(fee, use_db)
res = Trade.total_open_trades_stakes()
assert res == 15.133
Trade.use_db = True
@ pytest.mark.usefixtures("init_persistence")
def test_get_best_pair_short(fee):
res = Trade.get_best_pair()
assert res is None
create_mock_trades_with_leverage(fee)
res = Trade.get_best_pair()
assert len(res) == 2
assert res[0] == 'ETC/BTC'
assert res[1] == 0.17524390243902502