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Merge branch 'margin-db' into margin-commands

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This commit is contained in:
Sam Germain 2021-06-22 23:13:19 -06:00
commit 1b82646078
12 changed files with 412 additions and 66 deletions
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27
TODO
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@ -12,6 +12,33 @@ Files to edit
Tests Tests
tests/test_persistence.pys tests/test_persistence.pys
init with
lev & bor
lev
bor
neither lev nor bor
adjust_stop_loss
short
leverage
is_opening_trade
short
long
shortBuy
longSell
is_closing_trade
short
long
shortBuy
longSell
update, close, update fee
possible to test?
calc_profit
* * create a few shorts, a few leveraged longs test correct ratio
calc_profit_ratio
* create a few shorts, a few leveraged longs test correct ratio
get_open_trades
* create a short, check if exists
tests/test_freqtradebot.py tests/test_freqtradebot.py
later later

2
docs/installation.md
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@ -60,7 +60,7 @@ OS Specific steps are listed first, the [Common](#common) section below is neces
sudo apt-get update sudo apt-get update
# install packages # install packages
sudo apt install -y python3-pip python3-venv python3-pandas git sudo apt install -y python3-pip python3-venv python3-dev python3-pandas git
``` ```
=== "RaspberryPi/Raspbian" === "RaspberryPi/Raspbian"

2
freqtrade/freqtradebot.py
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@ -268,7 +268,7 @@ class FreqtradeBot(LoggingMixin):
# Updating open orders in dry-run does not make sense and will fail. # Updating open orders in dry-run does not make sense and will fail.
return return
trades: List[Trade] = Trade.get_sold_trades_without_assigned_fees() trades: List[Trade] = Trade.get_closed_trades_without_assigned_fees()
for trade in trades: for trade in trades:
if not trade.is_open and not trade.fee_updated('sell'): if not trade.is_open and not trade.fee_updated('sell'):

11
freqtrade/persistence/migrations.py
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@ -66,7 +66,8 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
close_profit_abs = get_column_def( close_profit_abs = get_column_def(
cols, 'close_profit_abs', cols, 'close_profit_abs',
f"(amount * close_rate * (1 - {fee_close})) - {open_trade_value}") f"(amount * close_rate * (1 - {fee_close})) - {open_trade_value}")
close_order_status = get_column_def(cols, 'close_order_status', 'null') # TODO-mg: update to exit order status
sell_order_status = get_column_def(cols, 'sell_order_status', 'null')
amount_requested = get_column_def(cols, 'amount_requested', 'amount') amount_requested = get_column_def(cols, 'amount_requested', 'amount')
# Schema migration necessary # Schema migration necessary
@ -88,7 +89,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
stake_amount, amount, amount_requested, open_date, close_date, open_order_id, stake_amount, amount, amount_requested, open_date, close_date, open_order_id,
stop_loss, stop_loss_pct, initial_stop_loss, initial_stop_loss_pct, stop_loss, stop_loss_pct, initial_stop_loss, initial_stop_loss_pct,
stoploss_order_id, stoploss_last_update, stoploss_order_id, stoploss_last_update,
max_rate, min_rate, sell_reason, close_order_status, strategy, max_rate, min_rate, sell_reason, sell_order_status, strategy,
timeframe, open_trade_value, close_profit_abs, timeframe, open_trade_value, close_profit_abs,
leverage, borrowed, borrowed_currency, collateral_currency, interest_rate, liquidation_price, is_short leverage, borrowed, borrowed_currency, collateral_currency, interest_rate, liquidation_price, is_short
) )
@ -111,7 +112,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
{initial_stop_loss_pct} initial_stop_loss_pct, {initial_stop_loss_pct} initial_stop_loss_pct,
{stoploss_order_id} stoploss_order_id, {stoploss_last_update} stoploss_last_update, {stoploss_order_id} stoploss_order_id, {stoploss_last_update} stoploss_last_update,
{max_rate} max_rate, {min_rate} min_rate, {sell_reason} sell_reason, {max_rate} max_rate, {min_rate} min_rate, {sell_reason} sell_reason,
{close_order_status} close_order_status, {sell_order_status} sell_order_status,
{strategy} strategy, {timeframe} timeframe, {strategy} strategy, {timeframe} timeframe,
{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs, {open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs,
{leverage} leverage, {borrowed} borrowed, {borrowed_currency} borrowed_currency, {leverage} leverage, {borrowed} borrowed, {borrowed_currency} borrowed_currency,
@ -120,7 +121,9 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
from {table_back_name} from {table_back_name}
""")) """))
#TODO: Does leverage go in here? # TODO: Does leverage go in here?
def migrate_open_orders_to_trades(engine): def migrate_open_orders_to_trades(engine):
with engine.begin() as connection: with engine.begin() as connection:
connection.execute(text(""" connection.execute(text("""

107
freqtrade/persistence/models.py
View File

@ -132,7 +132,7 @@ class Order(_DECL_BASE):
order_filled_date = Column(DateTime, nullable=True) order_filled_date = Column(DateTime, nullable=True)
order_update_date = Column(DateTime, nullable=True) order_update_date = Column(DateTime, nullable=True)
leverage = Column(Float, nullable=True, default=0.0) leverage = Column(Float, nullable=True, default=1.0)
def __repr__(self): def __repr__(self):
return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, ' return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, '
@ -258,12 +258,12 @@ class LocalTrade():
# Lowest price reached # Lowest price reached
min_rate: float = 0.0 min_rate: float = 0.0
sell_reason: str = '' sell_reason: str = ''
close_order_status: str = '' sell_order_status: str = ''
strategy: str = '' strategy: str = ''
timeframe: Optional[int] = None timeframe: Optional[int] = None
# Margin trading properties # Margin trading properties
leverage: Optional[float] = 0.0 leverage: Optional[float] = 1.0
borrowed: float = 0.0 borrowed: float = 0.0
borrowed_currency: str = None borrowed_currency: str = None
collateral_currency: str = None collateral_currency: str = None
@ -287,6 +287,8 @@ class LocalTrade():
for key in kwargs: for key in kwargs:
setattr(self, key, kwargs[key]) setattr(self, key, kwargs[key])
if not self.is_short:
self.is_short = False
self.recalc_open_trade_value() self.recalc_open_trade_value()
def __repr__(self): def __repr__(self):
@ -348,7 +350,7 @@ class LocalTrade():
'profit_abs': self.close_profit_abs, 'profit_abs': self.close_profit_abs,
'sell_reason': self.sell_reason, 'sell_reason': self.sell_reason,
'close_order_status': self.close_order_status, 'sell_order_status': self.sell_order_status,
'stop_loss_abs': self.stop_loss, 'stop_loss_abs': self.stop_loss,
'stop_loss_ratio': self.stop_loss_pct if self.stop_loss_pct else None, 'stop_loss_ratio': self.stop_loss_pct if self.stop_loss_pct else None,
'stop_loss_pct': (self.stop_loss_pct * 100) if self.stop_loss_pct else None, 'stop_loss_pct': (self.stop_loss_pct * 100) if self.stop_loss_pct else None,
@ -371,7 +373,7 @@ class LocalTrade():
'collateral_currency': self.collateral_currency, 'collateral_currency': self.collateral_currency,
'interest_rate': self.interest_rate, 'interest_rate': self.interest_rate,
'liquidation_price': self.liquidation_price, 'liquidation_price': self.liquidation_price,
'leverage': self.leverage, 'is_short': self.is_short,
'open_order_id': self.open_order_id, 'open_order_id': self.open_order_id,
} }
@ -474,12 +476,12 @@ class LocalTrade():
self.recalc_open_trade_value() self.recalc_open_trade_value()
if self.is_open: if self.is_open:
payment = "SELL" if self.is_short else "BUY" payment = "SELL" if self.is_short else "BUY"
logger.info(f'{order_type.upper()}_{payment} order has been fulfilled for {self}.') logger.info(f'{order_type.upper()}_{payment} has been fulfilled for {self}.')
self.open_order_id = None self.open_order_id = None
elif order_type in ('market', 'limit') and self.is_closing_trade(order['side']): elif order_type in ('market', 'limit') and self.is_closing_trade(order['side']):
if self.is_open: if self.is_open:
payment = "BUY" if self.is_short else "SELL" payment = "BUY" if self.is_short else "SELL"
logger.info(f'{order_type.upper()}_{payment} order has been fulfilled for {self}.') logger.info(f'{order_type.upper()}_{payment} has been fulfilled for {self}.')
self.close(safe_value_fallback(order, 'average', 'price')) # TODO: Double check this self.close(safe_value_fallback(order, 'average', 'price')) # TODO: Double check this
elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'): elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'):
self.stoploss_order_id = None self.stoploss_order_id = None
@ -502,7 +504,7 @@ class LocalTrade():
self.close_profit = self.calc_profit_ratio() self.close_profit = self.calc_profit_ratio()
self.close_profit_abs = self.calc_profit() self.close_profit_abs = self.calc_profit()
self.is_open = False self.is_open = False
self.close_order_status = 'closed' self.sell_order_status = 'closed'
self.open_order_id = None self.open_order_id = None
if show_msg: if show_msg:
logger.info( logger.info(
@ -561,6 +563,42 @@ class LocalTrade():
""" """
self.open_trade_value = self._calc_open_trade_value() self.open_trade_value = self._calc_open_trade_value()
def calculate_interest(self) -> Decimal:
# TODO-mg: Need to set other conditions because sometimes self.open_date is not defined, but why would it ever not be set
if not self.interest_rate or not (self.borrowed):
return Decimal(0.0)
try:
open_date = self.open_date.replace(tzinfo=None)
now = datetime.now()
secPerDay = 86400
days = Decimal((now - open_date).total_seconds()/secPerDay) or 0.0
hours = days/24
except:
raise OperationalException("Time isn't calculated properly")
rate = Decimal(self.interest_rate)
borrowed = Decimal(self.borrowed)
if self.exchange == 'binance':
# Rate is per day but accrued hourly or something
# binance: https://www.binance.com/en-AU/support/faq/360030157812
return borrowed * (rate/24) * max(hours, 1.0) # TODO-mg: Is hours rounded?
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-4)/4)
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/24) * max(hours, 1.0)
elif self.exchange == 'binance_coinm_futures':
# ! TODO-mg: This is incorrect, I didn't look it up
return borrowed * (rate/24) * max(hours, 1.0)
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) -> float: fee: Optional[float] = None) -> float:
""" """
@ -576,8 +614,8 @@ class LocalTrade():
close_trade = Decimal(self.amount) * Decimal(rate or self.close_rate) # type: ignore close_trade = Decimal(self.amount) * Decimal(rate or self.close_rate) # type: ignore
fees = close_trade * Decimal(fee or self.fee_close) fees = close_trade * Decimal(fee or self.fee_close)
#TODO: Interest rate could be hourly instead of daily interest = self.calculate_interest()
interest = ((Decimal(self.interest_rate) * Decimal(self.borrowed)) * Decimal((datetime.utcnow() - self.open_date).days)) or 0 # Interest/day * num of days
if (self.is_short): if (self.is_short):
return float(close_trade + fees + interest) return float(close_trade + fees + interest)
else: else:
@ -617,12 +655,17 @@ class LocalTrade():
rate=(rate or self.close_rate), rate=(rate or self.close_rate),
fee=(fee or self.fee_close) fee=(fee or self.fee_close)
) )
if self.open_trade_value == 0.0:
return 0.0
if self.is_short: if self.is_short:
profit_ratio = (close_trade_value / self.open_trade_value) - 1 if close_trade_value == 0.0:
return 0.0
else:
profit_ratio = (self.open_trade_value / close_trade_value) - 1
else: else:
profit_ratio = (self.open_trade_value / close_trade_value) - 1 if self.open_trade_value == 0.0:
return 0.0
else:
profit_ratio = (close_trade_value / self.open_trade_value) - 1
return float(f"{profit_ratio:.8f}") return float(f"{profit_ratio:.8f}")
def select_order(self, order_side: str, is_open: Optional[bool]) -> Optional[Order]: def select_order(self, order_side: str, is_open: Optional[bool]) -> Optional[Order]:
@ -640,7 +683,7 @@ class LocalTrade():
else: else:
return None return None
@staticmethod @ staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None, def get_trades_proxy(*, pair: str = None, is_open: bool = None,
open_date: datetime = None, close_date: datetime = None, open_date: datetime = None, close_date: datetime = None,
) -> List['LocalTrade']: ) -> List['LocalTrade']:
@ -674,27 +717,27 @@ class LocalTrade():
return sel_trades return sel_trades
@staticmethod @ staticmethod
def close_bt_trade(trade): def close_bt_trade(trade):
LocalTrade.trades_open.remove(trade) LocalTrade.trades_open.remove(trade)
LocalTrade.trades.append(trade) LocalTrade.trades.append(trade)
LocalTrade.total_profit += trade.close_profit_abs LocalTrade.total_profit += trade.close_profit_abs
@staticmethod @ staticmethod
def add_bt_trade(trade): def add_bt_trade(trade):
if trade.is_open: if trade.is_open:
LocalTrade.trades_open.append(trade) LocalTrade.trades_open.append(trade)
else: else:
LocalTrade.trades.append(trade) LocalTrade.trades.append(trade)
@staticmethod @ staticmethod
def get_open_trades() -> List[Any]: def get_open_trades() -> List[Any]:
""" """
Query trades from persistence layer Query trades from persistence layer
""" """
return Trade.get_trades_proxy(is_open=True) return Trade.get_trades_proxy(is_open=True)
@staticmethod @ staticmethod
def stoploss_reinitialization(desired_stoploss): def stoploss_reinitialization(desired_stoploss):
""" """
Adjust initial Stoploss to desired stoploss for all open trades. Adjust initial Stoploss to desired stoploss for all open trades.
@ -768,13 +811,13 @@ class Trade(_DECL_BASE, LocalTrade):
max_rate = Column(Float, nullable=True, default=0.0) max_rate = Column(Float, nullable=True, default=0.0)
# Lowest price reached # Lowest price reached
min_rate = Column(Float, nullable=True) min_rate = Column(Float, nullable=True)
sell_reason = Column(String(100), nullable=True) #TODO: Change to close_reason sell_reason = Column(String(100), nullable=True) # TODO: Change to close_reason
close_order_status = Column(String(100), nullable=True) sell_order_status = Column(String(100), nullable=True)
strategy = Column(String(100), nullable=True) strategy = Column(String(100), nullable=True)
timeframe = Column(Integer, nullable=True) timeframe = Column(Integer, nullable=True)
# Margin trading properties # Margin trading properties
leverage = Column(Float, nullable=True, default=0.0) leverage = Column(Float, nullable=True, default=1.0)
borrowed = Column(Float, nullable=False, default=0.0) borrowed = Column(Float, nullable=False, default=0.0)
borrowed_currency = Column(Float, nullable=True) borrowed_currency = Column(Float, nullable=True)
collateral_currency = Column(String(25), nullable=True) collateral_currency = Column(String(25), nullable=True)
@ -795,11 +838,11 @@ class Trade(_DECL_BASE, LocalTrade):
Trade.query.session.delete(self) Trade.query.session.delete(self)
Trade.commit() Trade.commit()
@staticmethod @ staticmethod
def commit(): def commit():
Trade.query.session.commit() Trade.query.session.commit()
@staticmethod @ staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None, def get_trades_proxy(*, pair: str = None, is_open: bool = None,
open_date: datetime = None, close_date: datetime = None, open_date: datetime = None, close_date: datetime = None,
) -> List['LocalTrade']: ) -> List['LocalTrade']:
@ -829,7 +872,7 @@ class Trade(_DECL_BASE, LocalTrade):
close_date=close_date close_date=close_date
) )
@staticmethod @ staticmethod
def get_trades(trade_filter=None) -> Query: def get_trades(trade_filter=None) -> Query:
""" """
Helper function to query Trades using filters. Helper function to query Trades using filters.
@ -849,7 +892,7 @@ class Trade(_DECL_BASE, LocalTrade):
else: else:
return Trade.query return Trade.query
@staticmethod @ staticmethod
def get_open_order_trades(): def get_open_order_trades():
""" """
Returns all open trades Returns all open trades
@ -857,7 +900,7 @@ class Trade(_DECL_BASE, LocalTrade):
""" """
return Trade.get_trades(Trade.open_order_id.isnot(None)).all() return Trade.get_trades(Trade.open_order_id.isnot(None)).all()
@staticmethod @ staticmethod
def get_open_trades_without_assigned_fees(): def get_open_trades_without_assigned_fees():
""" """
Returns all open trades which don't have open fees set correctly Returns all open trades which don't have open fees set correctly
@ -868,7 +911,7 @@ class Trade(_DECL_BASE, LocalTrade):
Trade.is_open.is_(True), Trade.is_open.is_(True),
]).all() ]).all()
@staticmethod @ staticmethod
def get_closed_trades_without_assigned_fees(): def get_closed_trades_without_assigned_fees():
""" """
Returns all closed trades which don't have fees set correctly Returns all closed trades which don't have fees set correctly
@ -879,7 +922,7 @@ class Trade(_DECL_BASE, LocalTrade):
Trade.is_open.is_(False), Trade.is_open.is_(False),
]).all() ]).all()
@staticmethod @ staticmethod
def total_open_trades_stakes() -> float: def total_open_trades_stakes() -> float:
""" """
Calculates total invested amount in open trades Calculates total invested amount in open trades
@ -893,7 +936,7 @@ class Trade(_DECL_BASE, LocalTrade):
t.stake_amount for t in LocalTrade.get_trades_proxy(is_open=True)) t.stake_amount for t in LocalTrade.get_trades_proxy(is_open=True))
return total_open_stake_amount or 0 return total_open_stake_amount or 0
@staticmethod @ staticmethod
def get_overall_performance() -> List[Dict[str, Any]]: def get_overall_performance() -> List[Dict[str, Any]]:
""" """
Returns List of dicts containing all Trades, including profit and trade count Returns List of dicts containing all Trades, including profit and trade count
@ -918,7 +961,7 @@ class Trade(_DECL_BASE, LocalTrade):
for pair, profit, profit_abs, count in pair_rates for pair, profit, profit_abs, count in pair_rates
] ]
@staticmethod @ staticmethod
def get_best_pair(): def get_best_pair():
""" """
Get best pair with closed trade. Get best pair with closed trade.
@ -956,7 +999,7 @@ class PairLock(_DECL_BASE):
return (f'PairLock(id={self.id}, pair={self.pair}, lock_time={lock_time}, ' return (f'PairLock(id={self.id}, pair={self.pair}, lock_time={lock_time}, '
f'lock_end_time={lock_end_time})') f'lock_end_time={lock_end_time})')
@staticmethod @ staticmethod
def query_pair_locks(pair: Optional[str], now: datetime) -> Query: def query_pair_locks(pair: Optional[str], now: datetime) -> Query:
""" """
Get all currently active locks for this pair Get all currently active locks for this pair

8
requirements-dev.txt
View File

@ -19,7 +19,7 @@ isort==5.8.0
nbconvert==6.0.7 nbconvert==6.0.7
# mypy types # mypy types
types-cachetools==0.1.7 types-cachetools==0.1.8
types-filelock==0.1.3 types-filelock==0.1.4
types-requests==0.1.11 types-requests==0.1.13
types-tabulate==0.1.0 types-tabulate==0.1.1

2
requirements-hyperopt.txt
View File

@ -2,7 +2,7 @@
-r requirements.txt -r requirements.txt
# Required for hyperopt # Required for hyperopt
scipy==1.6.3 scipy==1.7.0
scikit-learn==0.24.2 scikit-learn==0.24.2
scikit-optimize==0.8.1 scikit-optimize==0.8.1
filelock==3.0.12 filelock==3.0.12

6
requirements.txt
View File

@ -1,7 +1,7 @@
numpy==1.20.3 numpy==1.20.3
pandas==1.2.4 pandas==1.2.4
ccxt==1.51.40 ccxt==1.51.77
# Pin cryptography for now due to rust build errors with piwheels # Pin cryptography for now due to rust build errors with piwheels
cryptography==3.4.7 cryptography==3.4.7
aiohttp==3.7.4.post0 aiohttp==3.7.4.post0
@ -16,7 +16,7 @@ jsonschema==3.2.0
TA-Lib==0.4.20 TA-Lib==0.4.20
technical==1.3.0 technical==1.3.0
tabulate==0.8.9 tabulate==0.8.9
pycoingecko==2.1.0 pycoingecko==2.2.0
jinja2==3.0.1 jinja2==3.0.1
tables==3.6.1 tables==3.6.1
blosc==1.10.4 blosc==1.10.4
@ -40,4 +40,4 @@ aiofiles==0.7.0
colorama==0.4.4 colorama==0.4.4
# Building config files interactively # Building config files interactively
questionary==1.9.0 questionary==1.9.0
prompt-toolkit==3.0.18 prompt-toolkit==3.0.19

131
tests/conftest.py
View File

@ -24,7 +24,7 @@ from freqtrade.persistence import LocalTrade, Trade, init_db
from freqtrade.resolvers import ExchangeResolver from freqtrade.resolvers import ExchangeResolver
from freqtrade.worker import Worker from freqtrade.worker import Worker
from tests.conftest_trades import (mock_trade_1, mock_trade_2, mock_trade_3, mock_trade_4, from tests.conftest_trades import (mock_trade_1, mock_trade_2, mock_trade_3, mock_trade_4,
mock_trade_5, mock_trade_6) mock_trade_5, mock_trade_6, short_trade, leverage_trade)
logging.getLogger('').setLevel(logging.INFO) logging.getLogger('').setLevel(logging.INFO)
@ -221,6 +221,13 @@ def create_mock_trades(fee, use_db: bool = True):
trade = mock_trade_6(fee) trade = mock_trade_6(fee)
add_trade(trade) add_trade(trade)
# TODO: margin trades
# trade = short_trade(fee)
# add_trade(trade)
# trade = leverage_trade(fee)
# add_trade(trade)
if use_db: if use_db:
Trade.query.session.flush() Trade.query.session.flush()
@ -250,6 +257,7 @@ def patch_coingekko(mocker) -> None:
@pytest.fixture(scope='function') @pytest.fixture(scope='function')
def init_persistence(default_conf): def init_persistence(default_conf):
init_db(default_conf['db_url'], default_conf['dry_run']) init_db(default_conf['db_url'], default_conf['dry_run'])
# TODO-mg: trade with leverage and/or borrowed?
@pytest.fixture(scope="function") @pytest.fixture(scope="function")
@ -812,7 +820,7 @@ def shitcoinmarkets(markets):
"future": False, "future": False,
"active": True "active": True
}, },
}) })
return shitmarkets return shitmarkets
@ -914,18 +922,17 @@ def limit_sell_order_old():
@pytest.fixture @pytest.fixture
def limit_buy_order_old_partial(): def limit_buy_order_old_partial():
return { return {'id': 'mocked_limit_buy_old_partial',
'id': 'mocked_limit_buy_old_partial', 'type': 'limit',
'type': 'limit', 'side': 'buy',
'side': 'buy', 'symbol': 'ETH/BTC',
'symbol': 'ETH/BTC', 'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(), 'price': 0.00001099,
'price': 0.00001099, 'amount': 90.99181073,
'amount': 90.99181073, 'filled': 23.0,
'filled': 23.0, 'remaining': 67.99181073,
'remaining': 67.99181073, 'status': 'open'
'status': 'open' }
}
@pytest.fixture @pytest.fixture
@ -1728,13 +1735,14 @@ def rpc_balance():
'total': 0.1, 'total': 0.1,
'free': 0.01, 'free': 0.01,
'used': 0.0 'used': 0.0
}, },
'EUR': { 'EUR': {
'total': 10.0, 'total': 10.0,
'free': 10.0, 'free': 10.0,
'used': 0.0 'used': 0.0
}, },
} }
# TODO-mg: Add shorts and leverage?
@pytest.fixture @pytest.fixture
@ -2049,3 +2057,96 @@ def saved_hyperopt_results():
].total_seconds() ].total_seconds()
return hyperopt_res return hyperopt_res
# * Margin Tests
# TODO-mg: fill in these tests with something useful
@pytest.fixture
def leveraged_fee():
return
@pytest.fixture
def short_fee():
return
@pytest.fixture
def ticker_short():
return
@pytest.fixture
def ticker_exit_short_up():
return
@pytest.fixture
def ticker_exit_short_down():
return
@pytest.fixture
def leveraged_markets():
return
@pytest.fixture(scope='function')
def limit_short_order_open():
return
@pytest.fixture(scope='function')
def limit_short_order(limit_short_order_open):
return
@pytest.fixture(scope='function')
def market_short_order():
return
@pytest.fixture
def market_short_exit_order():
return
@pytest.fixture
def limit_short_order_old():
return
@pytest.fixture
def limit_exit_short_order_old():
return
@pytest.fixture
def limit_short_order_old_partial():
return
@pytest.fixture
def limit_short_order_old_partial_canceled(limit_short_order_old_partial):
return
@pytest.fixture(scope='function')
def limit_short_order_canceled_empty(request):
return
@pytest.fixture
def limit_exit_short_order_open():
return
@pytest.fixture
def limit_exit_short_order(limit_sell_order_open):
return
@pytest.fixture
def short_order_fee():
return

133
tests/conftest_trades.py
View File

@ -3,7 +3,7 @@ from datetime import datetime, timedelta, timezone
from freqtrade.persistence.models import Order, Trade from freqtrade.persistence.models import Order, Trade
MOCK_TRADE_COUNT = 6 MOCK_TRADE_COUNT = 6 # TODO-mg: Increase for short and leverage
def mock_order_1(): def mock_order_1():
@ -303,3 +303,134 @@ def mock_trade_6(fee):
o = Order.parse_from_ccxt_object(mock_order_6_sell(), 'LTC/BTC', 'sell') o = Order.parse_from_ccxt_object(mock_order_6_sell(), 'LTC/BTC', 'sell')
trade.orders.append(o) trade.orders.append(o)
return trade return trade
#! TODO Currently the following short_trade test and leverage_trade test will fail
def short_order():
return {
'id': '1235',
'symbol': 'ETC/BTC',
'status': 'closed',
'side': 'sell',
'type': 'limit',
'price': 0.123,
'amount': 123.0,
'filled': 123.0,
'remaining': 0.0,
'leverage': 5.0,
'isShort': True
}
def exit_short_order():
return {
'id': '12366',
'symbol': 'ETC/BTC',
'status': 'closed',
'side': 'buy',
'type': 'limit',
'price': 0.128,
'amount': 123.0,
'filled': 123.0,
'remaining': 0.0,
'leverage': 5.0,
'isShort': True
}
def short_trade(fee):
"""
Closed trade...
"""
trade = Trade(
pair='ETC/BTC',
stake_amount=0.001,
amount=123.0, # TODO-mg: In BTC?
amount_requested=123.0,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_rate=0.123,
close_rate=0.128,
close_profit=0.005, # TODO-mg: Would this be -0.005 or -0.025
close_profit_abs=0.000584127,
exchange='binance',
is_open=False,
open_order_id='dry_run_exit_short_12345',
strategy='DefaultStrategy',
timeframe=5,
sell_reason='sell_signal', # TODO-mg: Update to exit/close reason
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
# borrowed=
isShort=True
)
o = Order.parse_from_ccxt_object(short_order(), 'ETC/BTC', 'sell')
trade.orders.append(o)
o = Order.parse_from_ccxt_object(exit_short_order(), 'ETC/BTC', 'sell')
trade.orders.append(o)
return trade
def leverage_order():
return {
'id': '1235',
'symbol': 'ETC/BTC',
'status': 'closed',
'side': 'buy',
'type': 'limit',
'price': 0.123,
'amount': 123.0,
'filled': 123.0,
'remaining': 0.0,
'leverage': 5.0
}
def leverage_order_sell():
return {
'id': '12366',
'symbol': 'ETC/BTC',
'status': 'closed',
'side': 'sell',
'type': 'limit',
'price': 0.128,
'amount': 123.0,
'filled': 123.0,
'remaining': 0.0,
'leverage': 5.0,
'isShort': True
}
def leverage_trade(fee):
"""
Closed trade...
"""
trade = Trade(
pair='ETC/BTC',
stake_amount=0.001,
amount=615.0,
amount_requested=615.0,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_rate=0.123,
close_rate=0.128,
close_profit=0.005, # TODO-mg: Would this be -0.005 or -0.025
close_profit_abs=0.000584127,
exchange='binance',
is_open=False,
open_order_id='dry_run_leverage_sell_12345',
strategy='DefaultStrategy',
timeframe=5,
sell_reason='sell_signal', # TODO-mg: Update to exit/close reason
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
# borrowed=
)
o = Order.parse_from_ccxt_object(leverage_order(), 'ETC/BTC', 'sell')
trade.orders.append(o)
o = Order.parse_from_ccxt_object(leverage_order_sell(), 'ETC/BTC', 'sell')
trade.orders.append(o)
return trade

17
tests/rpc/test_rpc.py
View File

@ -107,6 +107,14 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
'stoploss_entry_dist_ratio': -0.10448878, 'stoploss_entry_dist_ratio': -0.10448878,
'open_order': None, 'open_order': None,
'exchange': 'binance', 'exchange': 'binance',
'leverage': 1.0,
'borrowed': 0.0,
'borrowed_currency': None,
'collateral_currency': None,
'interest_rate': 0.0,
'liquidation_price': None,
'is_short': False,
} }
mocker.patch('freqtrade.exchange.Exchange.get_sell_rate', mocker.patch('freqtrade.exchange.Exchange.get_sell_rate',
@ -173,6 +181,15 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
'stoploss_entry_dist_ratio': -0.10448878, 'stoploss_entry_dist_ratio': -0.10448878,
'open_order': None, 'open_order': None,
'exchange': 'binance', 'exchange': 'binance',
'leverage': 1.0,
'borrowed': 0.0,
'borrowed_currency': None,
'collateral_currency': None,
'interest_rate': 0.0,
'liquidation_price': None,
'is_short': False,
} }

28
tests/test_persistence.py
View File

@ -129,6 +129,9 @@ def test_update_with_binance(limit_buy_order, limit_sell_order, fee, caplog):
r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001099, open_since=.*\).", r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001099, open_since=.*\).",
caplog) caplog)
# TODO-mg: create a short order
# TODO-mg: create a leveraged long order
@pytest.mark.usefixtures("init_persistence") @pytest.mark.usefixtures("init_persistence")
def test_update_market_order(market_buy_order, market_sell_order, fee, caplog): def test_update_market_order(market_buy_order, market_sell_order, fee, caplog):
@ -167,6 +170,9 @@ def test_update_market_order(market_buy_order, market_sell_order, fee, caplog):
r"pair=ETH/BTC, amount=91.99181073, open_rate=0.00004099, open_since=.*\).", r"pair=ETH/BTC, amount=91.99181073, open_rate=0.00004099, open_since=.*\).",
caplog) caplog)
# TODO-mg: market short
# TODO-mg: market leveraged long
@pytest.mark.usefixtures("init_persistence") @pytest.mark.usefixtures("init_persistence")
def test_calc_open_close_trade_price(limit_buy_order, limit_sell_order, fee): def test_calc_open_close_trade_price(limit_buy_order, limit_sell_order, fee):
@ -659,11 +665,13 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
order_date DATETIME, order_date DATETIME,
order_filled_date DATETIME, order_filled_date DATETIME,
order_update_date DATETIME, order_update_date DATETIME,
leverage FLOAT,
PRIMARY KEY (id), PRIMARY KEY (id),
CONSTRAINT _order_pair_order_id UNIQUE (ft_pair, order_id), CONSTRAINT _order_pair_order_id UNIQUE (ft_pair, order_id),
FOREIGN KEY(ft_trade_id) REFERENCES trades (id) FOREIGN KEY(ft_trade_id) REFERENCES trades (id)
) )
""")) """))
# TODO-mg: Had to add field leverage to this table, check that this is correct
connection.execute(text(""" connection.execute(text("""
insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status, insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status,
@ -912,6 +920,14 @@ def test_to_json(default_conf, fee):
'strategy': None, 'strategy': None,
'timeframe': None, 'timeframe': None,
'exchange': 'binance', 'exchange': 'binance',
'leverage': None,
'borrowed': None,
'borrowed_currency': None,
'collateral_currency': None,
'interest_rate': None,
'liquidation_price': None,
'is_short': None,
} }
# Simulate dry_run entries # Simulate dry_run entries
@ -977,6 +993,14 @@ def test_to_json(default_conf, fee):
'strategy': None, 'strategy': None,
'timeframe': None, 'timeframe': None,
'exchange': 'binance', 'exchange': 'binance',
'leverage': None,
'borrowed': None,
'borrowed_currency': None,
'collateral_currency': None,
'interest_rate': None,
'liquidation_price': None,
'is_short': None,
} }
@ -1299,11 +1323,11 @@ def test_Trade_object_idem():
'get_best_pair', 'get_best_pair',
'get_overall_performance', 'get_overall_performance',
'total_open_trades_stakes', 'total_open_trades_stakes',
'get_sold_trades_without_assigned_fees', 'get_closed_trades_without_assigned_fees',
'get_open_trades_without_assigned_fees', 'get_open_trades_without_assigned_fees',
'get_open_order_trades', 'get_open_order_trades',
'get_trades', 'get_trades',
) )
# Parent (LocalTrade) should have the same attributes # Parent (LocalTrade) should have the same attributes
for item in trade: for item in trade: