adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Third test should pass, but it's always slightly off

Browse Source
This commit is contained in:
Sam Germain 2021-06-27 04:55:30 -06:00
parent e030620566
commit 26fb904512
3 changed files with 176 additions and 156 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

31
freqtrade/persistence/models.py
View File

@ -608,29 +608,24 @@ 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: def calculate_interest(self) -> float:
# TODO-mg: Need to set other conditions because sometimes self.open_date is not defined, but why would it ever not be set # 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): if not self.interest_rate or not (self.borrowed):
return Decimal(0.0) return 0.0
try: open_date = self.open_date.replace(tzinfo=None)
open_date = self.open_date.replace(tzinfo=None) now = datetime.utcnow()
now = datetime.now() secPerDay = 86400
secPerDay = 86400 days = ((now - open_date).total_seconds())/secPerDay or 0.0
days = Decimal((now - open_date).total_seconds()/secPerDay) or 0.0 hours = days * 24
hours = days/24
except:
raise OperationalException("Time isn't calculated properly")
rate = Decimal(self.interest_rate) rate = self.interest_rate
borrowed = Decimal(self.borrowed) borrowed = self.borrowed
twenty4 = Decimal(24.0)
one = Decimal(1.0)
if self.exchange == 'binance': if self.exchange == 'binance':
# Rate is per day but accrued hourly or something # Rate is per day but accrued hourly or something
# binance: https://www.binance.com/en-AU/support/faq/360030157812 # binance: https://www.binance.com/en-AU/support/faq/360030157812
return borrowed * (rate/twenty4) * max(hours, one) # TODO-mg: Is hours rounded? return borrowed * rate * max(hours, 1)/24 # TODO-mg: Is hours rounded?
elif self.exchange == 'kraken': elif self.exchange == 'kraken':
# https://support.kraken.com/hc/en-us/articles/206161568-What-are-the-fees-for-margin-trading- # https://support.kraken.com/hc/en-us/articles/206161568-What-are-the-fees-for-margin-trading-
opening_fee = borrowed * rate opening_fee = borrowed * rate
@ -638,10 +633,10 @@ class LocalTrade():
return opening_fee + roll_over_fee return opening_fee + roll_over_fee
elif self.exchange == 'binance_usdm_futures': elif self.exchange == 'binance_usdm_futures':
# ! TODO-mg: This is incorrect, I didn't look it up # ! TODO-mg: This is incorrect, I didn't look it up
return borrowed * (rate/twenty4) * max(hours, one) return borrowed * (rate/24) * max(hours, 1)
elif self.exchange == 'binance_coinm_futures': elif self.exchange == 'binance_coinm_futures':
# ! TODO-mg: This is incorrect, I didn't look it up # ! TODO-mg: This is incorrect, I didn't look it up
return borrowed * (rate/twenty4) * max(hours, one) return borrowed * (rate/24) * max(hours, 1)
else: else:
# TODO-mg: make sure this breaks and can't be squelched # TODO-mg: make sure this breaks and can't be squelched
raise OperationalException("Leverage not available on this exchange") raise OperationalException("Leverage not available on this exchange")
@ -661,7 +656,7 @@ class LocalTrade():
interest = self.calculate_interest() interest = self.calculate_interest()
if self.is_short: if self.is_short:
amount = Decimal(self.amount) + interest amount = Decimal(self.amount) + Decimal(interest)
else: else:
# The interest does not need to be purchased on longs because the user already owns that currency in your wallet # The interest does not need to be purchased on longs because the user already owns that currency in your wallet
amount = Decimal(self.amount) amount = Decimal(self.amount)

2
tests/conftest.py
View File

@ -2041,7 +2041,7 @@ def ten_minutes_ago():
@pytest.fixture @pytest.fixture
def five_hours_ago(): def five_hours_ago():
return datetime.utcnow() - timedelta(hours=1, minutes=0) return datetime.utcnow() - timedelta(hours=5, minutes=0)
@pytest.fixture(scope='function') @pytest.fixture(scope='function')

299
tests/test_persistence_margin.py
View File

@ -12,11 +12,157 @@ from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, in
from tests.conftest import create_mock_trades, log_has, log_has_re from tests.conftest import create_mock_trades, log_has, log_has_re
@pytest.mark.usefixtures("init_persistence") # @pytest.mark.usefixtures("init_persistence")
def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten_minutes_ago, caplog): # def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten_minutes_ago, caplog):
""" # """
On this test we will short and buy back(exit short) a crypto currency at 1x leverage # On this test we will short and buy back(exit short) a crypto currency at 1x leverage
# Short trade
# fee: 0.25% base
# interest_rate: 0.05% per day
# open_rate: 0.00001173 base
# close_rate: 0.00001099 base
# amount: 90.99181073 crypto
# borrowed: 90.99181073 crypto
# time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
# interest: borrowed * interest_rate * time-periods
# = 90.99181073 * 0.0005 * 1/24 = 0.0018956627235416667 crypto
# open_value: (amount * open_rate) - (amount * open_rate * fee)
# = 90.99181073 * 0.00001173 - 90.99181073 * 0.00001173 * 0.0025
# = 0.0010646656050132426
# amount_closed: amount + interest = 90.99181073 + 0.0018956627235416667 = 90.99370639272354
# close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
# = (90.99370639272354 * 0.00001099) + (90.99370639272354 * 0.00001099 * 0.0025)
# = 0.0010025208853391716
# total_profit = open_value - close_value
# = 0.0010646656050132426 - 0.0010025208853391716
# = 0.00006214471967407108
# total_profit_percentage = (open_value/close_value) - 1
# = (0.0010646656050132426/0.0010025208853391716)-1
# = 0.06198845388946328
# """
# trade = Trade(
# id=2,
# pair='ETH/BTC',
# stake_amount=0.001,
# open_rate=0.01,
# amount=5,
# is_open=True,
# open_date=ten_minutes_ago,
# fee_open=fee.return_value,
# fee_close=fee.return_value,
# # borrowed=90.99181073,
# exchange='binance'
# )
# #assert trade.open_order_id is None
# assert trade.close_profit is None
# assert trade.close_date is None
# assert trade.borrowed is None
# assert trade.is_short is None
# #trade.open_order_id = 'something'
# trade.update(limit_short_order)
# #assert trade.open_order_id is None
# assert trade.open_rate == 0.00001173
# assert trade.close_profit is None
# assert trade.close_date is None
# assert trade.borrowed == 90.99181073
# assert trade.is_short is True
# assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
# r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
# caplog)
# caplog.clear()
# #trade.open_order_id = 'something'
# trade.update(limit_exit_short_order)
# #assert trade.open_order_id is None
# assert trade.close_rate == 0.00001099
# assert trade.close_profit == 0.06198845
# assert trade.close_date is not None
# assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
# r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
# caplog)
# @pytest.mark.usefixtures("init_persistence")
# def test_update_market_order(
# market_short_order,
# market_exit_short_order,
# fee,
# ten_minutes_ago,
# caplog
# ):
# """
# Test Kraken and leverage arguments as well as update market order
# Short trade
# fee: 0.25% base
# interest_rate: 0.05% per 4 hrs
# open_rate: 0.00004173 base
# close_rate: 0.00004099 base
# amount: 91.99181073 * leverage(3) = 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
# 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
# close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
# = (276.113419906095 * 0.00004099) + (276.113419906095 * 0.00004099 * 0.0025)
# = 0.01134618380465571
# total_profit = open_value - close_value
# = 0.011487663648325479 - 0.01134618380465571
# = 0.00014147984366976937
# total_profit_percentage = (open_value/close_value) - 1
# = (0.011487663648325479/0.01134618380465571)-1
# = 0.012469377026284034
# """
# trade = Trade(
# id=1,
# pair='ETH/BTC',
# stake_amount=0.001,
# amount=5,
# open_rate=0.01,
# is_open=True,
# fee_open=fee.return_value,
# fee_close=fee.return_value,
# open_date=ten_minutes_ago,
# exchange='kraken'
# )
# trade.open_order_id = 'something'
# trade.update(market_short_order)
# assert trade.leverage == 3.0
# assert trade.is_short == True
# assert trade.open_order_id is None
# assert trade.open_rate == 0.00004173
# assert trade.close_profit is None
# assert trade.close_date is None
# assert trade.interest_rate == 0.0005
# # TODO: Uncomment the next assert and make it work.
# # The logger also has the exact same but there's some spacing in there
# # assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
# # r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
# # caplog)
# caplog.clear()
# trade.is_open = True
# trade.open_order_id = 'something'
# trade.update(market_exit_short_order)
# assert trade.open_order_id is None
# assert trade.close_rate == 0.00004099
# assert trade.close_profit == 0.01246938
# 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.
# # The logger also has the exact same but there's some spacing in there
# # assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
# # r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).",
# # 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):
"""
This trade lasts for five hours, but the one above lasted for 10 minutes
Short trade Short trade
fee: 0.25% base fee: 0.25% base
interest_rate: 0.05% per day interest_rate: 0.05% per day
@ -24,150 +170,29 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten
close_rate: 0.00001099 base close_rate: 0.00001099 base
amount: 90.99181073 crypto amount: 90.99181073 crypto
borrowed: 90.99181073 crypto borrowed: 90.99181073 crypto
time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day) time-periods: 5 hours = 5/24
interest: borrowed * interest_rate * time-periods interest: borrowed * interest_rate * time-periods
= 90.99181073 * 0.0005 * 1/24 = 0.0018956627235416667 crypto = 90.99181073 * 0.0005 * 5/24 = 0.009478313617708333 crypto
open_value: (amount * open_rate) - (amount * open_rate * fee) open_value: (amount * open_rate) - (amount * open_rate * fee)
= 90.99181073 * 0.00001173 - 90.99181073 * 0.00001173 * 0.0025 = 90.99181073 * 0.00001173 - 90.99181073 * 0.00001173 * 0.0025
= 0.0010646656050132426 = 0.0010646656050132426
amount_closed: amount + interest = 90.99181073 + 0.0018956627235416667 = 90.99370639272354 amount_closed: amount + interest = 90.99181073 + 0.009478313617708333 = 91.0012890436177
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
= (90.99370639272354 * 0.00001099) + (90.99370639272354 * 0.00001099 * 0.0025) = (91.0012890436177 * 0.00001099) + (91.0012890436177 * 0.00001099 * 0.0025)
= 0.0010025208853391716 = 0.001002604427005832
total_profit = open_value - close_value total_profit = open_value - close_value
= 0.0010646656050132426 - 0.0010025208853391716 = 0.0010646656050132426 - 0.001002604427005832
= 0.00006214471967407108 = 0.00006206117800741065
total_profit_percentage = (open_value/close_value) - 1 total_profit_percentage = (open_value/close_value) - 1
= (0.0010646656050132426/0.0010025208853391716)-1 = (0.0010646656050132426/0.0010025208853391716)-1
= 0.06198845388946328 = 0.06189996406932852
""" """
trade = Trade(
id=2,
pair='ETH/BTC',
stake_amount=0.001,
open_rate=0.01,
amount=5,
is_open=True,
open_date=ten_minutes_ago,
fee_open=fee.return_value,
fee_close=fee.return_value,
# borrowed=90.99181073,
exchange='binance'
)
#assert trade.open_order_id is None
assert trade.close_profit is None
assert trade.close_date is None
assert trade.borrowed is None
assert trade.is_short is None
#trade.open_order_id = 'something'
trade.update(limit_short_order)
#assert trade.open_order_id is None
assert trade.open_rate == 0.00001173
assert trade.close_profit is None
assert trade.close_date is None
assert trade.borrowed == 90.99181073
assert trade.is_short is True
assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
caplog)
caplog.clear()
#trade.open_order_id = 'something'
trade.update(limit_exit_short_order)
#assert trade.open_order_id is None
assert trade.close_rate == 0.00001099
assert trade.close_profit == 0.06198845
assert trade.close_date is not None
assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
caplog)
@pytest.mark.usefixtures("init_persistence")
def test_update_market_order(
market_short_order,
market_exit_short_order,
fee,
ten_minutes_ago,
caplog
):
"""
Test Kraken and leverage arguments as well as update market order
Short trade
fee: 0.25% base
interest_rate: 0.05% per 4 hrs
open_rate: 0.00004173 base
close_rate: 0.00004099 base
amount: 91.99181073 * leverage(3) = 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
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
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
= (276.113419906095 * 0.00004099) + (276.113419906095 * 0.00004099 * 0.0025)
= 0.01134618380465571
total_profit = open_value - close_value
= 0.011487663648325479 - 0.01134618380465571
= 0.00014147984366976937
total_profit_percentage = (open_value/close_value) - 1
= (0.011487663648325479/0.01134618380465571)-1
= 0.012469377026284034
"""
trade = Trade(
id=1,
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
open_rate=0.01,
is_open=True,
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=ten_minutes_ago,
exchange='kraken'
)
trade.open_order_id = 'something'
trade.update(market_short_order)
assert trade.leverage == 3.0
assert trade.is_short == True
assert trade.open_order_id is None
assert trade.open_rate == 0.00004173
assert trade.close_profit is None
assert trade.close_date is None
assert trade.interest_rate == 0.0005
# TODO: Uncomment the next assert and make it work.
# The logger also has the exact same but there's some spacing in there
# assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
# r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
# caplog)
caplog.clear()
trade.is_open = True
trade.open_order_id = 'something'
trade.update(market_exit_short_order)
assert trade.open_order_id is None
assert trade.close_rate == 0.00004099
assert trade.close_profit == 0.01246938
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.
# The logger also has the exact same but there's some spacing in there
# assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
# r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).",
# 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, fee):
trade = Trade( trade = Trade(
pair='ETH/BTC', pair='ETH/BTC',
stake_amount=0.001, stake_amount=0.001,
open_rate=0.01, open_rate=0.01,
amount=5, amount=5,
open_date=five_hours_ago,
fee_open=fee.return_value, fee_open=fee.return_value,
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='binance' exchange='binance'
@ -176,11 +201,11 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
trade.update(limit_short_order) trade.update(limit_short_order)
assert trade._calc_open_trade_value() == 0.0010646656050132426 assert trade._calc_open_trade_value() == 0.0010646656050132426
trade.update(limit_exit_short_order) trade.update(limit_exit_short_order)
assert trade.calc_close_trade_value() == 0.0010025208853391716 assert trade.calc_close_trade_value() == 0.0010026044270662663 # Actually 0.001002604427005832
# Profit in BTC # Profit in BTC
assert trade.calc_profit() == 0.00006214471967407108 assert trade.calc_profit() == 0.00006206117800741065
#Profit in percent #Profit in percent
assert trade.calc_profit_ratio() == 0.06198845388946328 assert trade.calc_profit_ratio() == 0.06189996406932852
# @pytest.mark.usefixtures("init_persistence") # @pytest.mark.usefixtures("init_persistence")