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Moved interest calculation to an enum

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This commit is contained in:
Sam Germain 2021-07-05 21:48:56 -06:00
parent d48f1083b0
commit 1b202ca22e
5 changed files with 90 additions and 47 deletions
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1
freqtrade/enums/__init__.py
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@ -1,5 +1,6 @@
# flake8: noqa: F401 # flake8: noqa: F401
from freqtrade.enums.backteststate import BacktestState from freqtrade.enums.backteststate import BacktestState
from freqtrade.enums.interestmode import InterestMode
from freqtrade.enums.rpcmessagetype import RPCMessageType from freqtrade.enums.rpcmessagetype import RPCMessageType
from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode
from freqtrade.enums.selltype import SellType from freqtrade.enums.selltype import SellType

30
freqtrade/enums/interestmode.py Normal file
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@ -0,0 +1,30 @@
from enum import Enum, auto
from decimal import Decimal
one = Decimal(1.0)
four = Decimal(4.0)
twenty_four = Decimal(24.0)
class FunctionProxy:
"""Allow to mask a function as an Object."""
def __init__(self, function):
self.function = function
def __call__(self, *args, **kwargs):
return self.function(*args, **kwargs)
class InterestMode(Enum):
"""Equations to calculate interest"""
# Interest_rate is per day, minimum time of 1 hour
HOURSPERDAY = FunctionProxy(
lambda borrowed, rate, hours: borrowed * rate * max(hours, one)/twenty_four
)
# Interest_rate is per 4 hours, minimum time of 4 hours
HOURSPER4 = FunctionProxy(
lambda borrowed, rate, hours: borrowed * rate * (1 + max(0, (hours-four)/four))
)

30
freqtrade/persistence/models.py
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@ -14,7 +14,7 @@ from sqlalchemy.pool import StaticPool
from sqlalchemy.sql.schema import UniqueConstraint from sqlalchemy.sql.schema import UniqueConstraint
from freqtrade.constants import DATETIME_PRINT_FORMAT from freqtrade.constants import DATETIME_PRINT_FORMAT
from freqtrade.enums import SellType from freqtrade.enums import InterestMode, SellType
from freqtrade.exceptions import DependencyException, OperationalException from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.misc import safe_value_fallback from freqtrade.misc import safe_value_fallback
from freqtrade.persistence.migrations import check_migrate from freqtrade.persistence.migrations import check_migrate
@ -265,9 +265,10 @@ class LocalTrade():
# Margin trading properties # Margin trading properties
interest_rate: float = 0.0 interest_rate: float = 0.0
liquidation_price: float = None liquidation_price: Optional[float] = None
is_short: bool = False is_short: bool = False
leverage: float = 1.0 leverage: float = 1.0
interest_mode: Optional[InterestMode] = None
@property @property
def has_no_leverage(self) -> bool: def has_no_leverage(self) -> bool:
@ -585,6 +586,8 @@ class LocalTrade():
# If nothing was borrowed # If nothing was borrowed
if self.has_no_leverage: if self.has_no_leverage:
return zero return zero
elif not self.interest_mode:
raise OperationalException(f"Leverage not available on {self.exchange} using freqtrade")
open_date = self.open_date.replace(tzinfo=None) open_date = self.open_date.replace(tzinfo=None)
now = (self.close_date or datetime.utcnow()).replace(tzinfo=None) now = (self.close_date or datetime.utcnow()).replace(tzinfo=None)
@ -594,28 +597,8 @@ class LocalTrade():
rate = Decimal(interest_rate or self.interest_rate) rate = Decimal(interest_rate or self.interest_rate)
borrowed = Decimal(self.borrowed) borrowed = Decimal(self.borrowed)
one = Decimal(1.0)
twenty_four = Decimal(24.0)
four = Decimal(4.0)
if self.exchange == 'binance': return self.interest_mode.value(borrowed, rate, hours)
# Rate is per day but accrued hourly or something
# binance: https://www.binance.com/en-AU/support/faq/360030157812
return borrowed * rate * max(hours, one)/twenty_four
elif self.exchange == 'kraken':
# https://support.kraken.com/hc/en-us/articles/206161568-What-are-the-fees-for-margin-trading-
opening_fee = borrowed * rate
roll_over_fee = borrowed * rate * max(0, (hours-four)/four)
return opening_fee + roll_over_fee
elif self.exchange == 'binance_usdm_futures':
# ! TODO-mg: This is incorrect, I didn't look it up
return borrowed * (rate/twenty_four) * max(hours, one)
elif self.exchange == 'binance_coinm_futures':
# ! TODO-mg: This is incorrect, I didn't look it up
return borrowed * (rate/twenty_four) * max(hours, one)
else:
# TODO-mg: make sure this breaks and can't be squelched
raise OperationalException("Leverage not available on this exchange")
def calc_close_trade_value(self, rate: Optional[float] = None, def calc_close_trade_value(self, rate: Optional[float] = None,
fee: Optional[float] = None, fee: Optional[float] = None,
@ -857,6 +840,7 @@ class Trade(_DECL_BASE, LocalTrade):
interest_rate = Column(Float, nullable=False, default=0.0) interest_rate = Column(Float, nullable=False, default=0.0)
liquidation_price = Column(Float, nullable=True) liquidation_price = Column(Float, nullable=True)
is_short = Column(Boolean, nullable=False, default=False) is_short = Column(Boolean, nullable=False, default=False)
interest_mode = Column(String(100), nullable=True)
# End of margin trading properties # End of margin trading properties
def __init__(self, **kwargs): def __init__(self, **kwargs):

38
tests/test_persistence_leverage.py
View File

@ -8,6 +8,7 @@ import pytest
from math import isclose from math import isclose
from sqlalchemy import create_engine, inspect, text from sqlalchemy import create_engine, inspect, text
from freqtrade import constants from freqtrade import constants
from freqtrade.enums import InterestMode
from freqtrade.exceptions import DependencyException, OperationalException from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db 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 from tests.conftest import create_mock_trades_with_leverage, log_has, log_has_re
@ -49,7 +50,8 @@ def test_interest_kraken(market_leveraged_buy_order, fee):
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='kraken', exchange='kraken',
leverage=3.0, leverage=3.0,
interest_rate=0.0005 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 # 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
@ -69,7 +71,8 @@ def test_interest_kraken(market_leveraged_buy_order, fee):
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='kraken', exchange='kraken',
leverage=5.0, leverage=5.0,
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
) )
assert float(round(trade.calculate_interest(), 11) assert float(round(trade.calculate_interest(), 11)
@ -113,9 +116,9 @@ def test_interest_binance(market_leveraged_buy_order, fee):
fee_open=fee.return_value, fee_open=fee.return_value,
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='binance', exchange='binance',
leverage=3.0, leverage=3.0,
interest_rate=0.0005 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 # 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) assert round(float(trade.calculate_interest()), 22) == round(4.166666666344583e-08, 22)
@ -134,7 +137,8 @@ def test_interest_binance(market_leveraged_buy_order, fee):
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='binance', exchange='binance',
leverage=5.0, leverage=5.0,
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
) )
assert float(round(trade.calculate_interest(), 14)) == round(4.1666666663445834e-07, 14) assert float(round(trade.calculate_interest(), 14)) == round(4.1666666663445834e-07, 14)
@ -155,6 +159,7 @@ def test_update_open_order(limit_leveraged_buy_order):
interest_rate=0.0005, interest_rate=0.0005,
leverage=3.0, leverage=3.0,
exchange='binance', exchange='binance',
interest_mode=InterestMode.HOURSPERDAY
) )
assert trade.open_order_id is None assert trade.open_order_id is None
assert trade.close_profit is None assert trade.close_profit is None
@ -195,7 +200,8 @@ def test_calc_open_trade_value(market_leveraged_buy_order, fee):
fee_close=fee.return_value, fee_close=fee.return_value,
interest_rate=0.0005, interest_rate=0.0005,
exchange='kraken', exchange='kraken',
leverage=3 leverage=3,
interest_mode=InterestMode.HOURSPER4
) )
trade.open_order_id = 'open_trade' trade.open_order_id = 'open_trade'
trade.update(market_leveraged_buy_order) # Buy @ 0.00001099 trade.update(market_leveraged_buy_order) # Buy @ 0.00001099
@ -243,7 +249,8 @@ def test_calc_open_close_trade_price(limit_leveraged_buy_order, limit_leveraged_
fee_open=fee.return_value, fee_open=fee.return_value,
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='binance', exchange='binance',
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
) )
trade.open_order_id = 'something' trade.open_order_id = 'something'
trade.update(limit_leveraged_buy_order) trade.update(limit_leveraged_buy_order)
@ -296,7 +303,8 @@ def test_trade_close(fee):
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0), open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
exchange='kraken', exchange='kraken',
leverage=3.0, leverage=3.0,
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
) )
assert trade.close_profit is None assert trade.close_profit is None
assert trade.close_date is None assert trade.close_date is None
@ -349,9 +357,9 @@ def test_calc_close_trade_price(market_leveraged_buy_order, market_leveraged_sel
fee_close=fee.return_value, fee_close=fee.return_value,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10), open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
interest_rate=0.0005, interest_rate=0.0005,
leverage=3.0, leverage=3.0,
exchange='kraken', exchange='kraken',
interest_mode=InterestMode.HOURSPER4
) )
trade.open_order_id = 'close_trade' trade.open_order_id = 'close_trade'
trade.update(market_leveraged_buy_order) # Buy @ 0.00001099 trade.update(market_leveraged_buy_order) # Buy @ 0.00001099
@ -406,7 +414,8 @@ def test_update_limit_order(limit_leveraged_buy_order, limit_leveraged_sell_orde
fee_close=fee.return_value, fee_close=fee.return_value,
leverage=3.0, leverage=3.0,
interest_rate=0.0005, interest_rate=0.0005,
exchange='binance' exchange='binance',
interest_mode=InterestMode.HOURSPERDAY
) )
# assert trade.open_order_id is None # assert trade.open_order_id is None
assert trade.close_profit is None assert trade.close_profit is None
@ -474,7 +483,8 @@ def test_update_market_order(market_leveraged_buy_order, market_leveraged_sell_o
fee_close=fee.return_value, fee_close=fee.return_value,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10), open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
interest_rate=0.0005, interest_rate=0.0005,
exchange='kraken' exchange='kraken',
interest_mode=InterestMode.HOURSPER4
) )
trade.open_order_id = 'something' trade.open_order_id = 'something'
trade.update(market_leveraged_buy_order) trade.update(market_leveraged_buy_order)
@ -516,7 +526,8 @@ def test_calc_close_trade_price_exception(limit_leveraged_buy_order, fee):
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='binance', exchange='binance',
interest_rate=0.0005, interest_rate=0.0005,
leverage=3.0 leverage=3.0,
interest_mode=InterestMode.HOURSPERDAY
) )
trade.open_order_id = 'something' trade.open_order_id = 'something'
trade.update(limit_leveraged_buy_order) trade.update(limit_leveraged_buy_order)
@ -572,7 +583,8 @@ def test_calc_profit(market_leveraged_buy_order, market_leveraged_sell_order, fe
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='kraken', exchange='kraken',
leverage=3.0, leverage=3.0,
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
) )
trade.open_order_id = 'something' trade.open_order_id = 'something'
trade.update(market_leveraged_buy_order) # Buy @ 0.00001099 trade.update(market_leveraged_buy_order) # Buy @ 0.00001099

38
tests/test_persistence_short.py
View File

@ -8,6 +8,7 @@ import pytest
from math import isclose from math import isclose
from sqlalchemy import create_engine, inspect, text from sqlalchemy import create_engine, inspect, text
from freqtrade import constants from freqtrade import constants
from freqtrade.enums import InterestMode
from freqtrade.exceptions import DependencyException, OperationalException from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db 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 from tests.conftest import create_mock_trades_with_leverage, log_has, log_has_re
@ -48,7 +49,8 @@ def test_interest_kraken(market_short_order, fee):
exchange='kraken', exchange='kraken',
is_short=True, is_short=True,
leverage=3.0, leverage=3.0,
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
) )
assert float(round(trade.calculate_interest(), 8)) == round(0.137987716095, 8) assert float(round(trade.calculate_interest(), 8)) == round(0.137987716095, 8)
@ -67,7 +69,8 @@ def test_interest_kraken(market_short_order, fee):
exchange='kraken', exchange='kraken',
is_short=True, is_short=True,
leverage=5.0, leverage=5.0,
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
) )
assert float(round(trade.calculate_interest(), 8)) == round(0.28747440853125, 8) assert float(round(trade.calculate_interest(), 8)) == round(0.28747440853125, 8)
@ -111,7 +114,8 @@ def test_interest_binance(market_short_order, fee):
exchange='binance', exchange='binance',
is_short=True, is_short=True,
leverage=3.0, leverage=3.0,
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
) )
assert float(round(trade.calculate_interest(), 8)) == 0.00574949 assert float(round(trade.calculate_interest(), 8)) == 0.00574949
@ -129,7 +133,8 @@ def test_interest_binance(market_short_order, fee):
exchange='binance', exchange='binance',
is_short=True, is_short=True,
leverage=5.0, leverage=5.0,
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
) )
assert float(round(trade.calculate_interest(), 8)) == 0.04791240 assert float(round(trade.calculate_interest(), 8)) == 0.04791240
@ -151,6 +156,7 @@ def test_calc_open_trade_value(market_short_order, fee):
is_short=True, is_short=True,
leverage=3.0, leverage=3.0,
exchange='kraken', exchange='kraken',
interest_mode=InterestMode.HOURSPER4
) )
trade.open_order_id = 'open_trade' trade.open_order_id = 'open_trade'
trade.update(market_short_order) # Buy @ 0.00001099 trade.update(market_short_order) # Buy @ 0.00001099
@ -174,6 +180,7 @@ def test_update_open_order(limit_short_order):
interest_rate=0.0005, interest_rate=0.0005,
is_short=True, is_short=True,
exchange='binance', exchange='binance',
interest_mode=InterestMode.HOURSPERDAY
) )
assert trade.open_order_id is None assert trade.open_order_id is None
assert trade.close_profit is None assert trade.close_profit is None
@ -197,7 +204,8 @@ def test_calc_close_trade_price_exception(limit_short_order, fee):
exchange='binance', exchange='binance',
interest_rate=0.0005, interest_rate=0.0005,
leverage=3.0, leverage=3.0,
is_short=True is_short=True,
interest_mode=InterestMode.HOURSPERDAY
) )
trade.open_order_id = 'something' trade.open_order_id = 'something'
trade.update(limit_short_order) trade.update(limit_short_order)
@ -235,6 +243,7 @@ def test_calc_close_trade_price(market_short_order, market_exit_short_order, fee
is_short=True, is_short=True,
leverage=3.0, leverage=3.0,
exchange='kraken', exchange='kraken',
interest_mode=InterestMode.HOURSPER4
) )
trade.open_order_id = 'close_trade' trade.open_order_id = 'close_trade'
trade.update(market_short_order) # Buy @ 0.00001099 trade.update(market_short_order) # Buy @ 0.00001099
@ -285,7 +294,8 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
fee_open=fee.return_value, fee_open=fee.return_value,
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='binance', exchange='binance',
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
) )
trade.open_order_id = 'something' trade.open_order_id = 'something'
trade.update(limit_short_order) trade.update(limit_short_order)
@ -343,7 +353,8 @@ def test_trade_close(fee):
exchange='kraken', exchange='kraken',
is_short=True, is_short=True,
leverage=3.0, leverage=3.0,
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
) )
assert trade.close_profit is None assert trade.close_profit is None
assert trade.close_date is None assert trade.close_date is None
@ -406,7 +417,8 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, cap
fee_close=fee.return_value, fee_close=fee.return_value,
# borrowed=90.99181073, # borrowed=90.99181073,
interest_rate=0.0005, interest_rate=0.0005,
exchange='binance' exchange='binance',
interest_mode=InterestMode.HOURSPERDAY
) )
# assert trade.open_order_id is None # assert trade.open_order_id is None
assert trade.close_profit is None assert trade.close_profit is None
@ -482,7 +494,8 @@ def test_update_market_order(
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10), open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
leverage=3.0, leverage=3.0,
interest_rate=0.0005, interest_rate=0.0005,
exchange='kraken' exchange='kraken',
interest_mode=InterestMode.HOURSPER4
) )
trade.open_order_id = 'something' trade.open_order_id = 'something'
trade.update(market_short_order) trade.update(market_short_order)
@ -569,7 +582,8 @@ def test_calc_profit(market_short_order, market_exit_short_order, fee):
exchange='kraken', exchange='kraken',
is_short=True, is_short=True,
leverage=3.0, leverage=3.0,
interest_rate=0.0005 interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
) )
trade.open_order_id = 'something' trade.open_order_id = 'something'
trade.update(market_short_order) # Buy @ 0.00001099 trade.update(market_short_order) # Buy @ 0.00001099
@ -620,7 +634,8 @@ def test_adjust_stop_loss(fee):
exchange='binance', exchange='binance',
open_rate=1, open_rate=1,
max_rate=1, max_rate=1,
is_short=True is_short=True,
interest_mode=InterestMode.HOURSPERDAY
) )
trade.adjust_stop_loss(trade.open_rate, 0.05, True) trade.adjust_stop_loss(trade.open_rate, 0.05, True)
assert trade.stop_loss == 1.05 assert trade.stop_loss == 1.05
@ -685,6 +700,7 @@ def test_stoploss_reinitialization(default_conf, fee):
max_rate=1, max_rate=1,
is_short=True, is_short=True,
leverage=3.0, leverage=3.0,
interest_mode=InterestMode.HOURSPERDAY
) )
trade.adjust_stop_loss(trade.open_rate, -0.05, True) trade.adjust_stop_loss(trade.open_rate, -0.05, True)
assert trade.stop_loss == 1.05 assert trade.stop_loss == 1.05