Added tests for interest and assigning leverage
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Sam Germain
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9cb2bdec29
commit
1bcab12b8f
@ -301,6 +301,7 @@ class LocalTrade():
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else:
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# If not shorting, then the trader already owns a bit
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self.borrowed = self.amount * (value-1)
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# TODO: Maybe amount should be a computed property, so we don't have to modify it
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self.amount = self.amount * value
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# End of margin trading properties
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@ -605,7 +606,7 @@ class LocalTrade():
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"""
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self.open_trade_value = self._calc_open_trade_value()
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def calculate_interest(self, interest_rate: Optional[float] = None) -> float:
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def calculate_interest(self, interest_rate: Optional[float] = None) -> Decimal:
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"""
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: param interest_rate: interest_charge for borrowing this coin(optional).
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If interest_rate is not set self.interest_rate will be used
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@ -63,6 +63,7 @@ def test_init_dryrun_db(default_conf, tmpdir):
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assert Path(filename).is_file()
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@pytest.mark.usefixtures("init_persistence")
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def test_is_opening_closing_trade(fee):
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trade = Trade(
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id=2,
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@ -1168,6 +1169,42 @@ def test_fee_updated(fee):
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assert not trade.fee_updated('asfd')
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@pytest.mark.usefixtures("init_persistence")
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def test_update_leverage(fee, ten_minutes_ago):
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_rate=0.00001099,
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open_date=ten_minutes_ago,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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is_short=True,
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interest_rate=0.0005
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)
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trade.leverage = 3.0
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assert trade.borrowed == 15.0
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assert trade.amount == 15.0
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_rate=0.00001099,
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open_date=ten_minutes_ago,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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is_short=False,
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interest_rate=0.0005
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)
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trade.leverage = 5.0
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assert trade.borrowed == 20.0
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assert trade.amount == 25.0
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@pytest.mark.usefixtures("init_persistence")
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@pytest.mark.parametrize('use_db', [True, False])
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def test_total_open_trades_stakes(fee, use_db):
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@ -160,8 +160,6 @@ def test_update_market_order(
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# r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).",
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# caplog)
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# TODO-mg: create a leveraged long order
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@pytest.mark.usefixtures("init_persistence")
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def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order, five_hours_ago, fee):
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@ -389,7 +387,7 @@ def test_calc_close_trade_price(market_short_order, market_exit_short_order, ten
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@pytest.mark.usefixtures("init_persistence")
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def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ago, five_hours_ago, fee):
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"""
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10 minute short market trade on Kraken at 3x leverage
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Market trade on Kraken at 3x leverage
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Short trade
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fee: 0.25% base or 0.3%
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interest_rate: 0.05%, 0.25% per 4 hrs
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@ -483,6 +481,136 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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# assert trade.calc_profit(fee=0.003) == 0.00006163
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# assert trade.calc_profit_ratio(fee=0.003) == 0.06147824
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@pytest.mark.usefixtures("init_persistence")
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def test_interest_kraken(market_short_order, ten_minutes_ago, five_hours_ago, fee):
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"""
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Market trade on Kraken at 3x and 8x leverage
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Short trade
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interest_rate: 0.05%, 0.25% per 4 hrs
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open_rate: 0.00004173 base
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close_rate: 0.00004099 base
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amount:
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91.99181073 * leverage(3) = 275.97543219 crypto
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91.99181073 * leverage(5) = 459.95905365 crypto
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borrowed:
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275.97543219 crypto
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459.95905365 crypto
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time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
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5 hours = 5/4
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interest: borrowed * interest_rate * time-periods
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= 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto
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= 275.97543219 * 0.00025 * 5/4 = 0.086242322559375 crypto
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= 459.95905365 * 0.0005 * 5/4 = 0.17248464511875 crypto
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= 459.95905365 * 0.00025 * 1 = 0.0689938580475 crypto
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_rate=0.00001099,
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open_date=ten_minutes_ago,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='kraken',
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is_short=True,
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leverage=3.0,
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interest_rate=0.0005
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)
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trade.update(market_short_order) # Buy @ 0.00001099
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assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.137987716095)
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trade.open_date = five_hours_ago
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assert isclose(float("{:.15f}".format(
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trade.calculate_interest(interest_rate=0.00025))), 0.086242322559375)
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_rate=0.00001099,
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open_date=ten_minutes_ago,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='kraken',
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is_short=True,
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leverage=5.0,
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interest_rate=0.0005
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)
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trade.update(market_short_order) # Buy @ 0.00001099
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assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.17248464511875)
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trade.open_date = ten_minutes_ago
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assert isclose(float("{:.15f}".format(
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trade.calculate_interest(interest_rate=0.00025))), 0.0689938580475)
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@pytest.mark.usefixtures("init_persistence")
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def test_interest_binance(market_short_order, ten_minutes_ago, five_hours_ago, fee):
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"""
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Market trade on Binance at 3x and 5x leverage
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Short trade
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interest_rate: 0.05%, 0.25% per 1 day
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open_rate: 0.00004173 base
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close_rate: 0.00004099 base
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amount:
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91.99181073 * leverage(3) = 275.97543219 crypto
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91.99181073 * leverage(5) = 459.95905365 crypto
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borrowed:
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275.97543219 crypto
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459.95905365 crypto
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time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
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5 hours = 5/24
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interest: borrowed * interest_rate * time-periods
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= print(275.97543219 * 0.0005 * 1/24) = 0.005749488170625 crypto
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= print(275.97543219 * 0.00025 * 5/24) = 0.0143737204265625 crypto
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= print(459.95905365 * 0.0005 * 5/24) = 0.047912401421875 crypto
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= print(459.95905365 * 0.00025 * 1/24) = 0.0047912401421875 crypto
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_rate=0.00001099,
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open_date=ten_minutes_ago,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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is_short=True,
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interest_rate=0.0005
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)
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trade.update(market_short_order) # Buy @ 0.00001099
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assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.005749488170625)
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trade.open_date = five_hours_ago
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assert isclose(float("{:.15f}".format(
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trade.calculate_interest(interest_rate=0.00025))), 0.0143737204265625)
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_rate=0.00001099,
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open_date=ten_minutes_ago,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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is_short=True,
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leverage=5.0,
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interest_rate=0.0005
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)
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trade.update(market_short_order) # Buy @ 0.00001099
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assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.047912401421875)
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trade.open_date = ten_minutes_ago
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assert isclose(float("{:.15f}".format(
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trade.calculate_interest(interest_rate=0.00025))), 0.0047912401421875)
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# def test_adjust_stop_loss(fee):
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# trade = Trade(
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# pair='ETH/BTC',
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@ -528,7 +656,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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# assert trade.initial_stop_loss_pct == -0.05
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# assert trade.stop_loss_pct == -0.1
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# def test_adjust_min_max_rates(fee):
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# trade = Trade(
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# pair='ETH/BTC',
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@ -555,7 +682,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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# assert trade.max_rate == 1.05
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# assert trade.min_rate == 0.96
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# @pytest.mark.usefixtures("init_persistence")
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# @pytest.mark.parametrize('use_db', [True, False])
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# def test_get_open(fee, use_db):
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@ -565,7 +691,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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# assert len(Trade.get_open_trades()) == 4
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# Trade.use_db = True
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# def test_stoploss_reinitialization(default_conf, fee):
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# init_db(default_conf['db_url'])
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# trade = Trade(
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@ -617,7 +742,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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# assert trade_adj.initial_stop_loss == 0.96
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# assert trade_adj.initial_stop_loss_pct == -0.04
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# def test_update_fee(fee):
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# trade = Trade(
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# pair='ETH/BTC',
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@ -654,7 +778,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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# assert trade.fee_close_cost == fee_cost
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# assert trade.fee_close == fee_rate
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# @pytest.mark.usefixtures("init_persistence")
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# @pytest.mark.parametrize('use_db', [True, False])
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# def test_total_open_trades_stakes(fee, use_db):
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@ -667,7 +790,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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# assert res == 0.004
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# Trade.use_db = True
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# @pytest.mark.usefixtures("init_persistence")
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# def test_get_overall_performance(fee):
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# create_mock_trades(fee)
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@ -677,7 +799,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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# assert 'profit' in res[0]
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# assert 'count' in res[0]
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# @pytest.mark.usefixtures("init_persistence")
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# def test_get_best_pair(fee):
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# res = Trade.get_best_pair()
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@ -688,7 +809,6 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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# assert res[0] == 'XRP/BTC'
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# assert res[1] == 0.01
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# @pytest.mark.usefixtures("init_persistence")
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# def test_update_order_from_ccxt(caplog):
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# # Most basic order return (only has orderid)
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