From 1bcab12b8fa5b031186b3ea21478d5df86af7042 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Mon, 28 Jun 2021 03:30:21 -0600 Subject: [PATCH] Added tests for interest and assigning leverage --- freqtrade/persistence/models.py | 3 +- tests/test_persistence.py | 37 +++++++++ tests/test_persistence_short.py | 142 +++++++++++++++++++++++++++++--- 3 files changed, 170 insertions(+), 12 deletions(-) diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index d340f447e..9e44b73e0 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -301,6 +301,7 @@ class LocalTrade(): else: # If not shorting, then the trader already owns a bit self.borrowed = self.amount * (value-1) + # TODO: Maybe amount should be a computed property, so we don't have to modify it self.amount = self.amount * value # End of margin trading properties @@ -605,7 +606,7 @@ class LocalTrade(): """ self.open_trade_value = self._calc_open_trade_value() - def calculate_interest(self, interest_rate: Optional[float] = None) -> float: + def calculate_interest(self, interest_rate: Optional[float] = None) -> Decimal: """ : param interest_rate: interest_charge for borrowing this coin(optional). If interest_rate is not set self.interest_rate will be used diff --git a/tests/test_persistence.py b/tests/test_persistence.py index 45723437b..f55ffd965 100644 --- a/tests/test_persistence.py +++ b/tests/test_persistence.py @@ -63,6 +63,7 @@ def test_init_dryrun_db(default_conf, tmpdir): assert Path(filename).is_file() +@pytest.mark.usefixtures("init_persistence") def test_is_opening_closing_trade(fee): trade = Trade( id=2, @@ -1168,6 +1169,42 @@ def test_fee_updated(fee): assert not trade.fee_updated('asfd') +@pytest.mark.usefixtures("init_persistence") +def test_update_leverage(fee, ten_minutes_ago): + trade = Trade( + pair='ETH/BTC', + stake_amount=0.001, + amount=5, + open_rate=0.00001099, + open_date=ten_minutes_ago, + fee_open=fee.return_value, + fee_close=fee.return_value, + exchange='binance', + is_short=True, + interest_rate=0.0005 + ) + trade.leverage = 3.0 + assert trade.borrowed == 15.0 + assert trade.amount == 15.0 + + trade = Trade( + pair='ETH/BTC', + stake_amount=0.001, + amount=5, + open_rate=0.00001099, + open_date=ten_minutes_ago, + fee_open=fee.return_value, + fee_close=fee.return_value, + exchange='binance', + is_short=False, + interest_rate=0.0005 + ) + + trade.leverage = 5.0 + assert trade.borrowed == 20.0 + assert trade.amount == 25.0 + + @pytest.mark.usefixtures("init_persistence") @pytest.mark.parametrize('use_db', [True, False]) def test_total_open_trades_stakes(fee, use_db): diff --git a/tests/test_persistence_short.py b/tests/test_persistence_short.py index d85820295..0c3c842ff 100644 --- a/tests/test_persistence_short.py +++ b/tests/test_persistence_short.py @@ -160,8 +160,6 @@ def test_update_market_order( # r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).", # caplog) -# TODO-mg: create a leveraged long order - @pytest.mark.usefixtures("init_persistence") def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order, five_hours_ago, fee): @@ -389,7 +387,7 @@ def test_calc_close_trade_price(market_short_order, market_exit_short_order, ten @pytest.mark.usefixtures("init_persistence") def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ago, five_hours_ago, fee): """ - 10 minute short market trade on Kraken at 3x leverage + 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 @@ -483,6 +481,136 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag # assert trade.calc_profit(fee=0.003) == 0.00006163 # assert trade.calc_profit_ratio(fee=0.003) == 0.06147824 + +@pytest.mark.usefixtures("init_persistence") +def test_interest_kraken(market_short_order, ten_minutes_ago, five_hours_ago, 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: + 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 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 = 0.17248464511875 crypto + = 459.95905365 * 0.00025 * 1 = 0.0689938580475 crypto + """ + + trade = Trade( + pair='ETH/BTC', + stake_amount=0.001, + amount=5, + open_rate=0.00001099, + open_date=ten_minutes_ago, + fee_open=fee.return_value, + fee_close=fee.return_value, + exchange='kraken', + is_short=True, + leverage=3.0, + interest_rate=0.0005 + ) + trade.update(market_short_order) # Buy @ 0.00001099 + + assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.137987716095) + trade.open_date = five_hours_ago + assert isclose(float("{:.15f}".format( + trade.calculate_interest(interest_rate=0.00025))), 0.086242322559375) + + trade = Trade( + pair='ETH/BTC', + stake_amount=0.001, + amount=5, + open_rate=0.00001099, + open_date=ten_minutes_ago, + fee_open=fee.return_value, + fee_close=fee.return_value, + exchange='kraken', + is_short=True, + leverage=5.0, + interest_rate=0.0005 + ) + trade.update(market_short_order) # Buy @ 0.00001099 + + assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.17248464511875) + trade.open_date = ten_minutes_ago + assert isclose(float("{:.15f}".format( + trade.calculate_interest(interest_rate=0.00025))), 0.0689938580475) + + +@pytest.mark.usefixtures("init_persistence") +def test_interest_binance(market_short_order, ten_minutes_ago, five_hours_ago, 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 + = print(275.97543219 * 0.0005 * 1/24) = 0.005749488170625 crypto + = print(275.97543219 * 0.00025 * 5/24) = 0.0143737204265625 crypto + = print(459.95905365 * 0.0005 * 5/24) = 0.047912401421875 crypto + = print(459.95905365 * 0.00025 * 1/24) = 0.0047912401421875 crypto + """ + + trade = Trade( + pair='ETH/BTC', + stake_amount=0.001, + amount=5, + open_rate=0.00001099, + open_date=ten_minutes_ago, + fee_open=fee.return_value, + fee_close=fee.return_value, + exchange='binance', + is_short=True, + interest_rate=0.0005 + ) + trade.update(market_short_order) # Buy @ 0.00001099 + + assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.005749488170625) + trade.open_date = five_hours_ago + assert isclose(float("{:.15f}".format( + trade.calculate_interest(interest_rate=0.00025))), 0.0143737204265625) + + trade = Trade( + pair='ETH/BTC', + stake_amount=0.001, + amount=5, + open_rate=0.00001099, + open_date=ten_minutes_ago, + fee_open=fee.return_value, + fee_close=fee.return_value, + exchange='binance', + is_short=True, + leverage=5.0, + interest_rate=0.0005 + ) + trade.update(market_short_order) # Buy @ 0.00001099 + + assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.047912401421875) + trade.open_date = ten_minutes_ago + assert isclose(float("{:.15f}".format( + trade.calculate_interest(interest_rate=0.00025))), 0.0047912401421875) + + # def test_adjust_stop_loss(fee): # trade = Trade( # pair='ETH/BTC', @@ -528,7 +656,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag # assert trade.initial_stop_loss_pct == -0.05 # assert trade.stop_loss_pct == -0.1 - # def test_adjust_min_max_rates(fee): # trade = Trade( # pair='ETH/BTC', @@ -555,7 +682,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag # assert trade.max_rate == 1.05 # assert trade.min_rate == 0.96 - # @pytest.mark.usefixtures("init_persistence") # @pytest.mark.parametrize('use_db', [True, False]) # def test_get_open(fee, use_db): @@ -565,7 +691,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag # assert len(Trade.get_open_trades()) == 4 # Trade.use_db = True - # def test_stoploss_reinitialization(default_conf, fee): # init_db(default_conf['db_url']) # trade = Trade( @@ -617,7 +742,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag # assert trade_adj.initial_stop_loss == 0.96 # assert trade_adj.initial_stop_loss_pct == -0.04 - # def test_update_fee(fee): # trade = Trade( # pair='ETH/BTC', @@ -654,7 +778,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag # assert trade.fee_close_cost == fee_cost # assert trade.fee_close == fee_rate - # @pytest.mark.usefixtures("init_persistence") # @pytest.mark.parametrize('use_db', [True, False]) # def test_total_open_trades_stakes(fee, use_db): @@ -667,7 +790,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag # assert res == 0.004 # Trade.use_db = True - # @pytest.mark.usefixtures("init_persistence") # def test_get_overall_performance(fee): # create_mock_trades(fee) @@ -677,7 +799,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag # assert 'profit' in res[0] # assert 'count' in res[0] - # @pytest.mark.usefixtures("init_persistence") # def test_get_best_pair(fee): # res = Trade.get_best_pair() @@ -688,7 +809,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag # assert res[0] == 'XRP/BTC' # assert res[1] == 0.01 - # @pytest.mark.usefixtures("init_persistence") # def test_update_order_from_ccxt(caplog): # # Most basic order return (only has orderid)