Updated interest and ratio calculations to correct functions
This commit is contained in:
Sam Germain
parent
8e52a3a29c
commit
256160740e
@ -1,5 +1,6 @@
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from decimal import Decimal
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from enum import Enum
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from math import ceil
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from freqtrade.exceptions import OperationalException
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@ -21,8 +22,9 @@ class InterestMode(Enum):
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borrowed, rate, hours = kwargs["borrowed"], kwargs["rate"], kwargs["hours"]
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if self.name == "HOURSPERDAY":
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return borrowed * rate * max(hours, one)/twenty_four
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return borrowed * rate * ceil(hours)/twenty_four
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elif self.name == "HOURSPER4":
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return borrowed * rate * (1 + max(0, (hours-four)/four))
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# Probably rounded based on https://kraken-fees-calculator.github.io/
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return borrowed * rate * (1+ceil(hours/four))
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else:
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raise OperationalException("Leverage not available on this exchange with freqtrade")
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@ -609,14 +609,12 @@ class LocalTrade():
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def update_order(self, order: Dict) -> None:
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Order.update_orders(self.orders, order)
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def _calc_open_trade_value(self, amount: Optional[float] = None) -> float:
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def _calc_open_trade_value(self) -> float:
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"""
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Calculate the open_rate including open_fee.
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:return: Price in of the open trade incl. Fees
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"""
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if amount is None:
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amount = self.amount
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open_trade = Decimal(amount) * Decimal(self.open_rate)
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open_trade = Decimal(self.amount) * Decimal(self.open_rate)
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fees = open_trade * Decimal(self.fee_open)
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if self.is_short:
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return float(open_trade - fees)
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@ -653,7 +651,6 @@ class LocalTrade():
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return self.interest_mode(borrowed=borrowed, rate=rate, hours=hours)
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def calc_close_trade_value(self, rate: Optional[float] = None,
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fee: Optional[float] = None,
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interest_rate: Optional[float] = None) -> float:
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"""
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@ -721,30 +718,23 @@ class LocalTrade():
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If interest_rate is not set self.interest_rate will be used
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:return: profit ratio as float
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"""
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close_trade_value = self.calc_close_trade_value(
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rate=(rate or self.close_rate),
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fee=(fee or self.fee_close),
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interest_rate=(interest_rate or self.interest_rate)
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)
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if self.leverage is None:
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leverage = 1.0
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else:
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leverage = self.leverage
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stake_value = self._calc_open_trade_value(amount=(self.amount/leverage))
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short_close_zero = (self.is_short and close_trade_value == 0.0)
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long_close_zero = (not self.is_short and self.open_trade_value == 0.0)
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leverage = self.leverage or 1.0
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if (short_close_zero or long_close_zero):
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return 0.0
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else:
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if self.is_short:
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profit_ratio = ((self.open_trade_value - close_trade_value) / stake_value)
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profit_ratio = (1 - (close_trade_value/self.open_trade_value)) * leverage
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else:
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profit_ratio = ((close_trade_value - self.open_trade_value) / stake_value)
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profit_ratio = ((close_trade_value/self.open_trade_value) - 1) * leverage
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return float(f"{profit_ratio:.8f}")
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@ -434,22 +434,22 @@ def leverage_trade(fee):
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stake_amount: 15.129 base
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borrowed: 60.516 base
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leverage: 5
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time-periods: 5 hrs( 5/4 time-period of 4 hours)
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interest: borrowed * interest_rate * time-periods
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= 60.516 * 0.0005 * 5/4 = 0.0378225 base
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hours: 5
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interest: borrowed * interest_rate * ceil(1 + hours/4)
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= 60.516 * 0.0005 * ceil(1 + 5/4) = 0.090774 base
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open_value: (amount * open_rate) + (amount * open_rate * fee)
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= (615.0 * 0.123) + (615.0 * 0.123 * 0.0025)
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= 75.83411249999999
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close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
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= (615.0 * 0.128) - (615.0 * 0.128 * 0.0025) - 0.0378225
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= 78.4853775
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= (615.0 * 0.128) - (615.0 * 0.128 * 0.0025) - 0.090774
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= 78.432426
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total_profit = close_value - open_value
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= 78.4853775 - 75.83411249999999
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= 2.6512650000000093
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total_profit_percentage = total_profit / stake_amount
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= 2.6512650000000093 / 15.129
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= 0.17524390243902502
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= 78.432426 - 75.83411249999999
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= 2.5983135000000175
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total_profit_percentage = ((close_value/open_value)-1) * leverage
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= ((78.432426/75.83411249999999)-1) * 5
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= 0.1713156134055116
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"""
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trade = Trade(
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pair='DOGE/BTC',
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@ -461,8 +461,8 @@ def leverage_trade(fee):
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fee_close=fee.return_value,
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open_rate=0.123,
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close_rate=0.128,
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close_profit=0.17524390243902502,
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close_profit_abs=2.6512650000000093,
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close_profit=0.1713156134055116,
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close_profit_abs=2.5983135000000175,
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exchange='kraken',
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is_open=False,
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open_order_id='dry_run_leverage_sell_12345',
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@ -238,7 +238,6 @@ def test_calc_open_close_trade_price(limit_buy_order, limit_sell_order, fee):
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@pytest.mark.usefixtures("init_persistence")
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def test_trade_close(limit_buy_order, limit_sell_order, fee):
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# TODO: limit_buy_order and limit_sell_order aren't used, remove them probably
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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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@ -27,11 +27,11 @@ def test_interest_kraken_lev(market_lev_buy_order, fee):
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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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= 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 base
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= 0.0075414886436454 * 0.00025 * 5/4 = 2.3567152011391876e-06 base
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= 0.0150829772872908 * 0.0005 * 5/4 = 9.42686080455675e-06 base
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= 0.0150829772872908 * 0.00025 * 1 = 3.7707443218227e-06 base
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interest: borrowed * interest_rate * ceil(1 + time-periods)
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= 0.0075414886436454 * 0.0005 * ceil(2) = 7.5414886436454e-06 base
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= 0.0075414886436454 * 0.00025 * ceil(9/4) = 5.65611648273405e-06 base
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= 0.0150829772872908 * 0.0005 * ceil(9/4) = 2.26244659309362e-05 base
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= 0.0150829772872908 * 0.00025 * ceil(2) = 7.5414886436454e-06 base
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"""
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trade = Trade(
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@ -48,19 +48,17 @@ def test_interest_kraken_lev(market_lev_buy_order, fee):
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interest_mode=InterestMode.HOURSPER4
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)
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# 10 minutes round up to 4 hours evenly on kraken so we can predict the exact value
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assert float(trade.calculate_interest()) == 3.7707443218227e-06
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trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0)
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# All trade > 5 hours will vary slightly due to execution time and interest calculated
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assert float(trade.calculate_interest()) == 7.5414886436454e-06
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trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 11)
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) == round(2.3567152011391876e-06, 11)
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) == round(5.65611648273405e-06, 11)
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.0037707443218227,
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amount=459.95905365,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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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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@ -70,9 +68,10 @@ def test_interest_kraken_lev(market_lev_buy_order, fee):
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)
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assert float(round(trade.calculate_interest(), 11)
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) == round(9.42686080455675e-06, 11)
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) == round(2.26244659309362e-05, 11)
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trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
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assert float(trade.calculate_interest(interest_rate=0.00025)) == 3.7707443218227e-06
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trade.interest_rate = 0.00025
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assert float(trade.calculate_interest(interest_rate=0.00025)) == 7.5414886436454e-06
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@pytest.mark.usefixtures("init_persistence")
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@ -116,7 +115,7 @@ def test_interest_binance_lev(market_lev_buy_order, fee):
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)
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# 10 minutes round up to 4 hours evenly on kraken so we can predict the them more accurately
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assert round(float(trade.calculate_interest()), 22) == round(4.166666666344583e-08, 22)
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trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0)
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trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
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# All trade > 5 hours will vary slightly due to execution time and interest calculated
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 14)
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) == round(1.0416666665861459e-07, 14)
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@ -126,7 +125,7 @@ def test_interest_binance_lev(market_lev_buy_order, fee):
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stake_amount=0.0009999999999226999,
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amount=459.95905365,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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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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@ -178,7 +177,7 @@ def test_calc_open_trade_value_lev(market_lev_buy_order, fee):
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borrowed: 0.0075414886436454 base
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time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
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interest: borrowed * interest_rate * time-periods
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= 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto
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= 0.0075414886436454 * 0.0005 * 1 = 7.5414886436454e-06 crypto
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open_value: (amount * open_rate) + (amount * open_rate * fee)
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= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
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= 0.01134051354788177
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@ -243,7 +242,7 @@ def test_calc_open_close_trade_price_lev(limit_lev_buy_order, limit_lev_sell_ord
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stake_amount=0.0009999999999226999,
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open_rate=0.01,
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amount=5,
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open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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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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@ -275,23 +274,20 @@ def test_trade_close_lev(fee):
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stake_amount: 0.5
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borrowed: 1 base
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time-periods: 5/4 periods of 4hrs
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interest: borrowed * interest_rate * time-periods
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= 1 * 0.0005 * 5/4 = 0.000625 crypto
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interest: borrowed * interest_rate * ceil(1 + time-periods)
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= 1 * 0.0005 * ceil(9/4) = 0.0015 crypto
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open_value: (amount * open_rate) + (amount * open_rate * fee)
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= (15 * 0.1) + (15 * 0.1 * 0.0025)
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= 1.50375
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close_value: (amount * close_rate) + (amount * close_rate * fee) - interest
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= (15 * 0.2) - (15 * 0.2 * 0.0025) - 0.000625
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= 2.9918750000000003
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stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee)
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= ((15/3) * 0.1) + ((15/3) * 0.1 * 0.0025)
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= 0.50125
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= (15 * 0.2) - (15 * 0.2 * 0.0025) - 0.0015
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= 2.991
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total_profit = close_value - open_value
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= 2.9918750000000003 - 1.50375
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= 1.4881250000000001
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total_profit_ratio = total_profit / stake_value
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= 1.4881250000000001 / 0.50125
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= 2.968827930174564
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= 2.991 - 1.50375
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= 1.4872500000000002
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total_profit_ratio = ((close_value/open_value) - 1) * leverage
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= ((2.991/1.50375) - 1) * 3
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= 2.96708229426434
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"""
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trade = Trade(
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pair='ETH/BTC',
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@ -301,7 +297,7 @@ def test_trade_close_lev(fee):
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is_open=True,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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exchange='kraken',
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leverage=3.0,
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interest_rate=0.0005,
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@ -312,7 +308,7 @@ def test_trade_close_lev(fee):
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assert trade.is_open is True
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trade.close(0.2)
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assert trade.is_open is False
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assert trade.close_profit == round(2.968827930174564, 8)
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assert trade.close_profit == round(2.96708229426434, 8)
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assert trade.close_date is not None
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# TODO-mg: Remove these comments probably
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@ -337,19 +333,19 @@ def test_calc_close_trade_price_lev(market_lev_buy_order, market_lev_sell_order,
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amount: 91.99181073 * leverage(3) = 275.97543219 crypto
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stake_amount: 0.0037707443218227
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borrowed: 0.0075414886436454 base
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time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
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time-periods: 10 minutes = 2
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interest: borrowed * interest_rate * time-periods
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= 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto
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= 0.0075414886436454 * 0.0005 * 2 = 7.5414886436454e-06 crypto
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open_value: (amount * open_rate) + (amount * open_rate * fee)
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= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
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= 0.01134051354788177
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close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
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= (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.0025) - 3.7707443218227e-06
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= 0.003393252246819716
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= (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.003) - 3.7707443218227e-06
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= 0.003391549478403104
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= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.005) - 3.7707443218227e-06
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= 0.011455101767040435
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= (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.0025) - 7.5414886436454e-06
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= 0.0033894815024978933
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= (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.003) - 7.5414886436454e-06
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= 0.003387778734081281
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= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.005) - 7.5414886436454e-06
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= 0.011451331022718612
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"""
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trade = Trade(
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pair='ETH/BTC',
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@ -367,12 +363,12 @@ def test_calc_close_trade_price_lev(market_lev_buy_order, market_lev_sell_order,
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trade.open_order_id = 'close_trade'
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trade.update(market_lev_buy_order) # Buy @ 0.00001099
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# Get the close rate price with a custom close rate and a regular fee rate
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assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.003393252246819716)
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assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.0033894815024978933)
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# Get the close rate price with a custom close rate and a custom fee rate
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assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.003391549478403104)
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assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.003387778734081281)
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# Test when we apply a Sell order, and ask price with a custom fee rate
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trade.update(market_lev_sell_order)
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assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011455101767040435)
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assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011451331022718612)
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@pytest.mark.usefixtures("init_persistence")
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@ -394,6 +390,9 @@ def test_update_limit_order_lev(limit_lev_buy_order, limit_lev_sell_order, fee,
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open_value: (amount * open_rate) + (amount * open_rate * fee)
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= (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025)
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= 0.0030074999997675204
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stake_value = (amount/lev * open_rate) + (amount/lev * open_rate * fee)
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= (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025)
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= 0.0010024999999225066
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close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee)
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= (272.97543219 * 0.00001173) - (272.97543219 * 0.00001173 * 0.0025)
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= 0.003193996815039728
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@ -460,24 +459,23 @@ def test_update_market_order_lev(market_lev_buy_order, market_lev_sell_order, fe
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amount: = 275.97543219 crypto
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stake_amount: 0.0037707443218227
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borrowed: 0.0075414886436454 base
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time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
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interest: borrowed * interest_rate * time-periods
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= 0.0075414886436454 * 0.0005 * 1 = 3.7707443218227e-06 crypto
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interest: borrowed * interest_rate * 1+ceil(hours)
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= 0.0075414886436454 * 0.0005 * (1+ceil(1)) = 7.5414886436454e-06 crypto
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open_value: (amount * open_rate) + (amount * open_rate * fee)
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= (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
|
||||
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
|
||||
= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025) - 7.5414886436454e-06
|
||||
= 0.011480122159681833
|
||||
stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee)
|
||||
= (275.97543219/3 * 0.00004099) + (275.97543219/3 * 0.00004099 * 0.0025)
|
||||
= 0.0037801711826272568
|
||||
total_profit = close_value - open_value - interest
|
||||
= 0.011487663648325479 - 0.01134051354788177 - 3.7707443218227e-06
|
||||
= 0.0001433793561218866
|
||||
total_profit_percentage = total_profit / stake_value
|
||||
= 0.0001433793561218866 / 0.0037801711826272568
|
||||
= 0.03792932890997717
|
||||
total_profit = close_value - open_value
|
||||
= 0.011480122159681833 - 0.01134051354788177
|
||||
= 0.00013960861180006392
|
||||
total_profit_percentage = ((close_value/open_value) - 1) * leverage
|
||||
= ((0.011480122159681833 / 0.01134051354788177)-1) * 3
|
||||
= 0.036931822675563275
|
||||
"""
|
||||
trade = Trade(
|
||||
id=1,
|
||||
@ -512,7 +510,7 @@ def test_update_market_order_lev(market_lev_buy_order, market_lev_sell_order, fe
|
||||
trade.update(market_lev_sell_order)
|
||||
assert trade.open_order_id is None
|
||||
assert trade.close_rate == 0.00004173
|
||||
assert trade.close_profit == round(0.03792932890997717, 8)
|
||||
assert trade.close_profit == round(0.036931822675563275, 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.
|
||||
@ -552,39 +550,38 @@ def test_calc_profit_lev(market_lev_buy_order, market_lev_sell_order, fee):
|
||||
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
|
||||
hours: 1/6, 5 hours
|
||||
|
||||
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
|
||||
interest: borrowed * interest_rate * ceil(1+hours/4)
|
||||
= 0.0075414886436454 * 0.0005 * ceil(1+((1/6)/4)) = 7.5414886436454e-06 crypto
|
||||
= 0.0075414886436454 * 0.00025 * ceil(1+(5/4)) = 5.65611648273405e-06 crypto
|
||||
= 0.0075414886436454 * 0.0005 * ceil(1+(5/4)) = 1.13122329654681e-05 crypto
|
||||
= 0.0075414886436454 * 0.00025 * ceil(1+((1/6)/4)) = 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 * 0.00005374) - (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
|
||||
(275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.0025) - 7.5414886436454e-06
|
||||
= 0.014786300937932227
|
||||
(275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.0025) - 5.65611648273405e-06
|
||||
= 0.0011973414905908902
|
||||
(275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.003) - 1.13122329654681e-05
|
||||
= 0.01477511473374746
|
||||
(275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.003) - 3.7707443218227e-06
|
||||
= 0.0011986238564324662
|
||||
stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee)
|
||||
= (275.97543219/3 * 0.00004099) + (275.97543219/3 * 0.00004099 * 0.0025)
|
||||
= 0.0037801711826272568
|
||||
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_value
|
||||
0.003449558134372281/0.0037801711826272568 = 0.9125401913610705
|
||||
-0.010139872656009285/0.0037801711826272568 = -2.682384518089991
|
||||
0.0034411999884288794/0.0037801711826272568 = 0.9103291417710906
|
||||
-0.010140004319288392/0.0037801711826272568 = -2.6824193480679854
|
||||
= 0.014786300937932227 - 0.01134051354788177 = 0.0034457873900504577
|
||||
= 0.0011973414905908902 - 0.01134051354788177 = -0.01014317205729088
|
||||
= 0.01477511473374746 - 0.01134051354788177 = 0.00343460118586569
|
||||
= 0.0011986238564324662 - 0.01134051354788177 = -0.010141889691449303
|
||||
total_profit_percentage = ((close_value/open_value) - 1) * leverage
|
||||
((0.014786300937932227/0.01134051354788177) - 1) * 3 = 0.9115426851266561
|
||||
((0.0011973414905908902/0.01134051354788177) - 1) * 3 = -2.683257336045103
|
||||
((0.01477511473374746/0.01134051354788177) - 1) * 3 = 0.908583505860866
|
||||
((0.0011986238564324662/0.01134051354788177) - 1) * 3 = -2.6829181011851926
|
||||
|
||||
"""
|
||||
trade = Trade(
|
||||
@ -606,35 +603,35 @@ def test_calc_profit_lev(market_lev_buy_order, market_lev_sell_order, fee):
|
||||
|
||||
# Higher than open rate
|
||||
assert trade.calc_profit(rate=0.00005374, interest_rate=0.0005) == round(
|
||||
0.003449558134372281, 8)
|
||||
0.0034457873900504577, 8)
|
||||
assert trade.calc_profit_ratio(
|
||||
rate=0.00005374, interest_rate=0.0005) == round(0.9125401913610705, 8)
|
||||
rate=0.00005374, interest_rate=0.0005) == round(0.9115426851266561, 8)
|
||||
|
||||
# Lower than open rate
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0)
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
|
||||
assert trade.calc_profit(
|
||||
rate=0.00000437, interest_rate=0.00025) == round(-0.010139872656009285, 8)
|
||||
rate=0.00000437, interest_rate=0.00025) == round(-0.01014317205729088, 8)
|
||||
assert trade.calc_profit_ratio(
|
||||
rate=0.00000437, interest_rate=0.00025) == round(-2.682384518089991, 8)
|
||||
rate=0.00000437, interest_rate=0.00025) == round(-2.683257336045103, 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)
|
||||
interest_rate=0.0005) == round(0.00343460118586569, 8)
|
||||
assert trade.calc_profit_ratio(rate=0.00005374, fee=0.003,
|
||||
interest_rate=0.0005) == round(0.9103291417710906, 8)
|
||||
interest_rate=0.0005) == round(0.908583505860866, 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)
|
||||
interest_rate=0.00025) == round(-0.010141889691449303, 8)
|
||||
assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003,
|
||||
interest_rate=0.00025) == round(-2.6824193480679854, 8)
|
||||
interest_rate=0.00025) == round(-2.6829181011851926, 8)
|
||||
|
||||
# Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
|
||||
trade.update(market_lev_sell_order)
|
||||
assert trade.calc_profit() == round(0.0001433793561218866, 8)
|
||||
assert trade.calc_profit_ratio() == round(0.03792932890997717, 8)
|
||||
assert trade.calc_profit() == round(0.00013960861180006392, 8)
|
||||
assert trade.calc_profit_ratio() == round(0.036931822675563275, 8)
|
||||
|
||||
# Test with a custom fee rate on the close trade
|
||||
# assert trade.calc_profit(fee=0.003) == 0.00006163
|
||||
|
||||
@ -26,11 +26,11 @@ def test_interest_kraken_short(market_short_order, fee):
|
||||
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
|
||||
interest: borrowed * interest_rate * ceil(1 + time-periods)
|
||||
= 275.97543219 * 0.0005 * ceil(1+1) = 0.27597543219 crypto
|
||||
= 275.97543219 * 0.00025 * ceil(9/4) = 0.20698157414249999 crypto
|
||||
= 459.95905365 * 0.0005 * ceil(9/4) = 0.689938580475 crypto
|
||||
= 459.95905365 * 0.00025 * ceil(1+1) = 0.229979526825 crypto
|
||||
"""
|
||||
|
||||
trade = Trade(
|
||||
@ -48,17 +48,17 @@ def test_interest_kraken_short(market_short_order, fee):
|
||||
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(), 8)) == round(0.27597543219, 8)
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
|
||||
assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)
|
||||
) == round(0.086242322559375, 8)
|
||||
) == round(0.20698157414249999, 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),
|
||||
open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='kraken',
|
||||
@ -68,10 +68,10 @@ def test_interest_kraken_short(market_short_order, fee):
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
|
||||
assert float(round(trade.calculate_interest(), 8)) == round(0.28747440853125, 8)
|
||||
assert float(round(trade.calculate_interest(), 8)) == round(0.689938580475, 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)
|
||||
) == round(0.229979526825, 8)
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
@ -114,7 +114,7 @@ def test_interest_binance_short(market_short_order, fee):
|
||||
)
|
||||
|
||||
assert float(round(trade.calculate_interest(), 8)) == 0.00574949
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0)
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
|
||||
assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)) == 0.01437372
|
||||
|
||||
trade = Trade(
|
||||
@ -122,7 +122,7 @@ def test_interest_binance_short(market_short_order, fee):
|
||||
stake_amount=0.001,
|
||||
amount=459.95905365,
|
||||
open_rate=0.00001099,
|
||||
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
|
||||
open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
@ -218,13 +218,13 @@ def test_calc_close_trade_price_short(market_short_order, market_exit_short_orde
|
||||
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
|
||||
hours: 10 minutes = 1/6
|
||||
interest: borrowed * interest_rate * ceil(1 + hours/4)
|
||||
= 275.97543219 * 0.0005 * ceil(1 + ((1/6)/4)) = 0.27597543219 crypto
|
||||
amount_closed: amount + interest = 275.97543219 + 0.27597543219 = 276.25140762219
|
||||
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
||||
= (276.113419906095 * 0.00001234) + (276.113419906095 * 0.00001234 * 0.0025)
|
||||
= 0.01134618380465571
|
||||
= (276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.005)
|
||||
= 0.011380162924425737
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
@ -243,12 +243,12 @@ def test_calc_close_trade_price_short(market_short_order, market_exit_short_orde
|
||||
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)
|
||||
assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.0034174647259)
|
||||
# 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)
|
||||
assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.0034191691971679986)
|
||||
# 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)
|
||||
assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011380162924425737)
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
@ -273,19 +273,21 @@ def test_calc_open_close_trade_price_short(limit_short_order, limit_exit_short_o
|
||||
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
||||
= (91.0012890436177 * 0.00001099) + (91.0012890436177 * 0.00001099 * 0.0025)
|
||||
= 0.001002604427005832
|
||||
stake_value = (amount/lev * open_rate) - (amount/lev * open_rate * fee)
|
||||
= 0.0010646656050132426
|
||||
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
|
||||
total_profit_percentage = (close_value - open_value) / stake_value
|
||||
= (0.0010646656050132426 - 0.001002604427005832)/0.0010646656050132426
|
||||
= 0.05829170935473088
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0010673339398629,
|
||||
open_rate=0.01,
|
||||
amount=5,
|
||||
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
|
||||
open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
@ -302,8 +304,7 @@ def test_calc_open_close_trade_price_short(limit_short_order, limit_exit_short_o
|
||||
# Profit in BTC
|
||||
assert round(trade.calc_profit(), 8) == round(0.00006206117800741065, 8)
|
||||
# Profit in percent
|
||||
# TODO-mg get this working
|
||||
# assert round(trade.calc_profit_ratio(), 11) == round(0.05822425142973869, 11)
|
||||
assert round(trade.calc_profit_ratio(), 8) == round(0.05829170935473088, 8)
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
@ -322,20 +323,20 @@ def test_trade_close_short(fee):
|
||||
time-periods: 5 hours = 5/4
|
||||
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 15 * 0.0005 * 5/4 = 0.009375 crypto
|
||||
= 15 * 0.0005 * ceil(1 + 5/4) = 0.0225 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
|
||||
amount_closed: amount + interest = 15 + 0.009375 = 15.0225
|
||||
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
||||
= (15.009375 * 0.01) + (15.009375 * 0.01 * 0.0025)
|
||||
= 0.150468984375
|
||||
= (15.0225 * 0.01) + (15.0225 * 0.01 * 0.0025)
|
||||
= 0.15060056250000003
|
||||
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
|
||||
= 0.29925 - 0.15060056250000003
|
||||
= 0.14864943749999998
|
||||
total_profit_percentage = (1-(close_value/open_value)) * leverage
|
||||
= (1 - (0.15060056250000003/0.29925)) * 3
|
||||
= 1.4902199248120298
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
@ -345,7 +346,7 @@ def test_trade_close_short(fee):
|
||||
is_open=True,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
|
||||
open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
|
||||
exchange='kraken',
|
||||
is_short=True,
|
||||
leverage=3.0,
|
||||
@ -357,7 +358,7 @@ def test_trade_close_short(fee):
|
||||
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_profit == round(1.4902199248120298, 8)
|
||||
assert trade.close_date is not None
|
||||
|
||||
# TODO-mg: Remove these comments probably
|
||||
@ -396,9 +397,9 @@ def test_update_with_binance_short(limit_short_order, limit_exit_short_order, fe
|
||||
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
|
||||
total_profit_percentage = (1 - (close_value/open_value)) * leverage
|
||||
= (1 - (0.0010025208853391716/0.0010646656050132426)) * 1
|
||||
= 0.05837017687191848
|
||||
|
||||
"""
|
||||
trade = Trade(
|
||||
@ -437,7 +438,7 @@ def test_update_with_binance_short(limit_short_order, limit_exit_short_order, fe
|
||||
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_profit == round(0.05837017687191848, 8)
|
||||
assert trade.close_date is not None
|
||||
assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
|
||||
r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
|
||||
@ -463,20 +464,21 @@ def test_update_market_order_short(
|
||||
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
|
||||
= 275.97543219 * 0.0005 * 2 = 0.27597543219 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
|
||||
amount_closed: amount + interest = 275.97543219 + 0.27597543219 = 276.25140762219
|
||||
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
||||
= (276.113419906095 * 0.00004099) + (276.113419906095 * 0.00004099 * 0.0025)
|
||||
= 0.01134618380465571
|
||||
= (276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.0025)
|
||||
= 0.0034174647259
|
||||
total_profit = open_value - close_value
|
||||
= 0.011487663648325479 - 0.01134618380465571
|
||||
= 0.00014147984366976937
|
||||
= 0.011487663648325479 - 0.0034174647259
|
||||
= 0.00013580958689582596
|
||||
total_profit_percentage = total_profit / stake_amount
|
||||
= 0.00014147984366976937 / 0.0038388182617629
|
||||
= 0.036855051222142936
|
||||
= (1 - (close_value/open_value)) * leverage
|
||||
= (1 - (0.0034174647259/0.011487663648325479)) * 3
|
||||
= 0.03546663387440563
|
||||
"""
|
||||
trade = Trade(
|
||||
id=1,
|
||||
@ -511,7 +513,7 @@ def test_update_market_order_short(
|
||||
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_profit == round(0.03546663387440563, 8)
|
||||
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.
|
||||
@ -527,7 +529,7 @@ 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
|
||||
interest_rate: 0.05%, 0.025% per 4 hrs
|
||||
open_rate: 0.00004173 base
|
||||
close_rate: 0.00004099 base
|
||||
stake_amount: 0.0038388182617629
|
||||
@ -537,38 +539,42 @@ def test_calc_profit_short(market_short_order, market_exit_short_order, fee):
|
||||
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
|
||||
= 275.97543219 * 0.0005 * ceil(1+1) = 0.27597543219 crypto
|
||||
= 275.97543219 * 0.00025 * ceil(1+5/4) = 0.20698157414249999 crypto
|
||||
= 275.97543219 * 0.0005 * ceil(1+5/4) = 0.41396314828499997 crypto
|
||||
= 275.97543219 * 0.00025 * ceil(1+1) = 0.27597543219 crypto
|
||||
= 275.97543219 * 0.00025 * ceil(1+1) = 0.27597543219 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
|
||||
= 275.97543219 + 0.27597543219 = 276.25140762219
|
||||
= 275.97543219 + 0.20698157414249999 = 276.1824137641425
|
||||
= 275.97543219 + 0.41396314828499997 = 276.389395338285
|
||||
= 275.97543219 + 0.27597543219 = 276.25140762219
|
||||
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
|
||||
(276.25140762219 * 0.00004374) + (276.25140762219 * 0.00004374 * 0.0025)
|
||||
= 0.012113444660818078
|
||||
(276.1824137641425 * 0.00000437) + (276.1824137641425 * 0.00000437 * 0.0025)
|
||||
= 0.0012099344410196758
|
||||
(276.389395338285 * 0.00004374) + (276.389395338285 * 0.00004374 * 0.003)
|
||||
= 0.012125539968552874
|
||||
(276.25140762219 * 0.00000437) + (276.25140762219 * 0.00000437 * 0.003)
|
||||
= 0.0012102354919246037
|
||||
(276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.0025)
|
||||
= 0.011351854061429653
|
||||
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
|
||||
|
||||
= 0.011487663648325479 - 0.012113444660818078 = -0.0006257810124925996
|
||||
= 0.011487663648325479 - 0.0012099344410196758 = 0.010277729207305804
|
||||
= 0.011487663648325479 - 0.012125539968552874 = -0.0006378763202273957
|
||||
= 0.011487663648325479 - 0.0012102354919246037 = 0.010277428156400875
|
||||
= 0.011487663648325479 - 0.011351854061429653 = 0.00013580958689582596
|
||||
total_profit_percentage = (1-(close_value/open_value)) * leverage
|
||||
(1-(0.012113444660818078 /0.011487663648325479))*3 = -0.16342252828332549
|
||||
(1-(0.0012099344410196758/0.011487663648325479))*3 = 2.6840259748040123
|
||||
(1-(0.012125539968552874 /0.011487663648325479))*3 = -0.16658121435868578
|
||||
(1-(0.0012102354919246037/0.011487663648325479))*3 = 2.68394735544829
|
||||
(1-(0.011351854061429653/0.011487663648325479))*3 = 0.03546663387440563
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
@ -588,34 +594,36 @@ def test_calc_profit_short(market_short_order, market_exit_short_order, fee):
|
||||
# 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(
|
||||
rate=0.00004374, interest_rate=0.0005) == round(-0.0006257810124925996, 8)
|
||||
assert trade.calc_profit_ratio(
|
||||
rate=0.00004374, interest_rate=0.0005) == round(-0.16143779115744006, 8)
|
||||
rate=0.00004374, interest_rate=0.0005) == round(-0.16342252828332549, 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)
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
|
||||
assert trade.calc_profit(rate=0.00000437, interest_rate=0.00025) == round(
|
||||
0.010277729207305804, 8)
|
||||
assert trade.calc_profit_ratio(
|
||||
rate=0.00000437, interest_rate=0.00025) == round(2.677453699564163, 8)
|
||||
rate=0.00000437, interest_rate=0.00025) == round(2.6840259748040123, 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)
|
||||
interest_rate=0.0005) == round(-0.0006378763202273957, 8)
|
||||
assert trade.calc_profit_ratio(rate=0.00004374, fee=0.003,
|
||||
interest_rate=0.0005) == round(-0.16340506919482353, 8)
|
||||
interest_rate=0.0005) == round(-0.16658121435868578, 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)
|
||||
interest_rate=0.00025) == round(0.010277428156400875, 8)
|
||||
assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003,
|
||||
interest_rate=0.00025) == round(2.677316263299785, 8)
|
||||
interest_rate=0.00025) == round(2.68394735544829, 8)
|
||||
|
||||
# Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
|
||||
# Test when we apply a exit short order.
|
||||
trade.update(market_exit_short_order)
|
||||
assert trade.calc_profit() == round(0.00014148, 8)
|
||||
assert trade.calc_profit_ratio() == round(0.03685505, 8)
|
||||
assert trade.calc_profit(rate=0.00004099) == round(0.00013580958689582596, 8)
|
||||
assert trade.calc_profit_ratio() == round(0.03546663387440563, 8)
|
||||
|
||||
# Test with a custom fee rate on the close trade
|
||||
# assert trade.calc_profit(fee=0.003) == 0.00006163
|
||||
@ -769,4 +777,4 @@ def test_get_best_pair_short(fee):
|
||||
res = Trade.get_best_pair()
|
||||
assert len(res) == 2
|
||||
assert res[0] == 'DOGE/BTC'
|
||||
assert res[1] == 0.17524390243902502
|
||||
assert res[1] == 0.1713156134055116
|
||||
|
||||
Loading…
Reference in New Issue
Block a user