Third test should pass, but it's always slightly off
This commit is contained in:
Sam Germain
parent
e030620566
commit
26fb904512
@ -608,29 +608,24 @@ 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) -> Decimal:
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def calculate_interest(self) -> float:
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# TODO-mg: Need to set other conditions because sometimes self.open_date is not defined, but why would it ever not be set
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if not self.interest_rate or not (self.borrowed):
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return Decimal(0.0)
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return 0.0
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try:
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open_date = self.open_date.replace(tzinfo=None)
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now = datetime.now()
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now = datetime.utcnow()
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secPerDay = 86400
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days = Decimal((now - open_date).total_seconds()/secPerDay) or 0.0
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hours = days/24
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except:
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raise OperationalException("Time isn't calculated properly")
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days = ((now - open_date).total_seconds())/secPerDay or 0.0
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hours = days * 24
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rate = Decimal(self.interest_rate)
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borrowed = Decimal(self.borrowed)
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twenty4 = Decimal(24.0)
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one = Decimal(1.0)
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rate = self.interest_rate
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borrowed = self.borrowed
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if self.exchange == 'binance':
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# Rate is per day but accrued hourly or something
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# binance: https://www.binance.com/en-AU/support/faq/360030157812
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return borrowed * (rate/twenty4) * max(hours, one) # TODO-mg: Is hours rounded?
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return borrowed * rate * max(hours, 1)/24 # TODO-mg: Is hours rounded?
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elif self.exchange == 'kraken':
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# https://support.kraken.com/hc/en-us/articles/206161568-What-are-the-fees-for-margin-trading-
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opening_fee = borrowed * rate
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@ -638,10 +633,10 @@ class LocalTrade():
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return opening_fee + roll_over_fee
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elif self.exchange == 'binance_usdm_futures':
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# ! TODO-mg: This is incorrect, I didn't look it up
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return borrowed * (rate/twenty4) * max(hours, one)
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return borrowed * (rate/24) * max(hours, 1)
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elif self.exchange == 'binance_coinm_futures':
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# ! TODO-mg: This is incorrect, I didn't look it up
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return borrowed * (rate/twenty4) * max(hours, one)
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return borrowed * (rate/24) * max(hours, 1)
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else:
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# TODO-mg: make sure this breaks and can't be squelched
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raise OperationalException("Leverage not available on this exchange")
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@ -661,7 +656,7 @@ class LocalTrade():
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interest = self.calculate_interest()
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if self.is_short:
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amount = Decimal(self.amount) + interest
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amount = Decimal(self.amount) + Decimal(interest)
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else:
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# The interest does not need to be purchased on longs because the user already owns that currency in your wallet
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amount = Decimal(self.amount)
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@ -2041,7 +2041,7 @@ def ten_minutes_ago():
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@pytest.fixture
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def five_hours_ago():
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return datetime.utcnow() - timedelta(hours=1, minutes=0)
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return datetime.utcnow() - timedelta(hours=5, minutes=0)
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@pytest.fixture(scope='function')
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@ -12,11 +12,157 @@ from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, in
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from tests.conftest import create_mock_trades, log_has, log_has_re
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@pytest.mark.usefixtures("init_persistence")
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def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten_minutes_ago, caplog):
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"""
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On this test we will short and buy back(exit short) a crypto currency at 1x leverage
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# @pytest.mark.usefixtures("init_persistence")
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# def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten_minutes_ago, caplog):
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# """
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# On this test we will short and buy back(exit short) a crypto currency at 1x leverage
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# Short trade
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# fee: 0.25% base
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# interest_rate: 0.05% per day
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# open_rate: 0.00001173 base
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# close_rate: 0.00001099 base
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# amount: 90.99181073 crypto
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# borrowed: 90.99181073 crypto
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# time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
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# interest: borrowed * interest_rate * time-periods
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# = 90.99181073 * 0.0005 * 1/24 = 0.0018956627235416667 crypto
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# open_value: (amount * open_rate) - (amount * open_rate * fee)
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# = 90.99181073 * 0.00001173 - 90.99181073 * 0.00001173 * 0.0025
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# = 0.0010646656050132426
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# amount_closed: amount + interest = 90.99181073 + 0.0018956627235416667 = 90.99370639272354
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# close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
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# = (90.99370639272354 * 0.00001099) + (90.99370639272354 * 0.00001099 * 0.0025)
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# = 0.0010025208853391716
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# total_profit = open_value - close_value
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# = 0.0010646656050132426 - 0.0010025208853391716
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# = 0.00006214471967407108
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# total_profit_percentage = (open_value/close_value) - 1
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# = (0.0010646656050132426/0.0010025208853391716)-1
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# = 0.06198845388946328
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# """
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# trade = Trade(
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# id=2,
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# pair='ETH/BTC',
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# stake_amount=0.001,
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# open_rate=0.01,
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# amount=5,
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# is_open=True,
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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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# # borrowed=90.99181073,
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# exchange='binance'
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# )
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# #assert trade.open_order_id is None
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# assert trade.close_profit is None
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# assert trade.close_date is None
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# assert trade.borrowed is None
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# assert trade.is_short is None
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# #trade.open_order_id = 'something'
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# trade.update(limit_short_order)
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# #assert trade.open_order_id is None
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# assert trade.open_rate == 0.00001173
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# assert trade.close_profit is None
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# assert trade.close_date is None
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# assert trade.borrowed == 90.99181073
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# assert trade.is_short is True
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# assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
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# r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
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# caplog)
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# caplog.clear()
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# #trade.open_order_id = 'something'
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# trade.update(limit_exit_short_order)
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# #assert trade.open_order_id is None
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# assert trade.close_rate == 0.00001099
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# assert trade.close_profit == 0.06198845
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# assert trade.close_date is not None
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# assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
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# r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
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# caplog)
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# @pytest.mark.usefixtures("init_persistence")
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# def test_update_market_order(
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# market_short_order,
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# market_exit_short_order,
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# fee,
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# ten_minutes_ago,
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# caplog
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# ):
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# """
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# Test Kraken and leverage arguments as well as update market order
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# Short trade
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# fee: 0.25% base
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# interest_rate: 0.05% 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: 91.99181073 * leverage(3) = 275.97543219 crypto
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# borrowed: 275.97543219 crypto
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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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# = 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto
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# open_value: (amount * open_rate) - (amount * open_rate * fee)
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# = 275.97543219 * 0.00004173 - 275.97543219 * 0.00004173 * 0.0025
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# = 0.011487663648325479
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# amount_closed: amount + interest = 275.97543219 + 0.137987716095 = 276.113419906095
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# close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
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# = (276.113419906095 * 0.00004099) + (276.113419906095 * 0.00004099 * 0.0025)
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# = 0.01134618380465571
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# total_profit = open_value - close_value
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# = 0.011487663648325479 - 0.01134618380465571
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# = 0.00014147984366976937
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# total_profit_percentage = (open_value/close_value) - 1
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# = (0.011487663648325479/0.01134618380465571)-1
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# = 0.012469377026284034
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# """
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# trade = Trade(
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# id=1,
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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=0.01,
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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=ten_minutes_ago,
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# exchange='kraken'
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# )
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# trade.open_order_id = 'something'
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# trade.update(market_short_order)
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# assert trade.leverage == 3.0
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# assert trade.is_short == True
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# assert trade.open_order_id is None
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# assert trade.open_rate == 0.00004173
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# assert trade.close_profit is None
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# assert trade.close_date is None
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# assert trade.interest_rate == 0.0005
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# # TODO: Uncomment the next assert and make it work.
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# # The logger also has the exact same but there's some spacing in there
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# # assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
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# # r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
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# # caplog)
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# caplog.clear()
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# trade.is_open = True
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# trade.open_order_id = 'something'
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# trade.update(market_exit_short_order)
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# assert trade.open_order_id is None
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# assert trade.close_rate == 0.00004099
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# assert trade.close_profit == 0.01246938
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# assert trade.close_date is not None
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# # TODO: The amount should maybe be the opening amount + the interest
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# # TODO: Uncomment the next assert and make it work.
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# # The logger also has the exact same but there's some spacing in there
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# # assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
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# # r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).",
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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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"""
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This trade lasts for five hours, but the one above lasted for 10 minutes
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Short trade
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fee: 0.25% base
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interest_rate: 0.05% per day
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@ -24,150 +170,29 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten
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close_rate: 0.00001099 base
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amount: 90.99181073 crypto
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borrowed: 90.99181073 crypto
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time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
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time-periods: 5 hours = 5/24
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interest: borrowed * interest_rate * time-periods
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= 90.99181073 * 0.0005 * 1/24 = 0.0018956627235416667 crypto
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= 90.99181073 * 0.0005 * 5/24 = 0.009478313617708333 crypto
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open_value: (amount * open_rate) - (amount * open_rate * fee)
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= 90.99181073 * 0.00001173 - 90.99181073 * 0.00001173 * 0.0025
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= 0.0010646656050132426
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amount_closed: amount + interest = 90.99181073 + 0.0018956627235416667 = 90.99370639272354
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amount_closed: amount + interest = 90.99181073 + 0.009478313617708333 = 91.0012890436177
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close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
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= (90.99370639272354 * 0.00001099) + (90.99370639272354 * 0.00001099 * 0.0025)
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= 0.0010025208853391716
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= (91.0012890436177 * 0.00001099) + (91.0012890436177 * 0.00001099 * 0.0025)
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= 0.001002604427005832
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total_profit = open_value - close_value
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= 0.0010646656050132426 - 0.0010025208853391716
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= 0.00006214471967407108
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= 0.0010646656050132426 - 0.001002604427005832
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= 0.00006206117800741065
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total_profit_percentage = (open_value/close_value) - 1
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= (0.0010646656050132426/0.0010025208853391716)-1
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= 0.06198845388946328
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= 0.06189996406932852
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"""
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trade = Trade(
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id=2,
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pair='ETH/BTC',
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stake_amount=0.001,
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open_rate=0.01,
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amount=5,
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is_open=True,
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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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# borrowed=90.99181073,
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exchange='binance'
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)
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#assert trade.open_order_id is None
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assert trade.close_profit is None
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assert trade.close_date is None
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assert trade.borrowed is None
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assert trade.is_short is None
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#trade.open_order_id = 'something'
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trade.update(limit_short_order)
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#assert trade.open_order_id is None
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assert trade.open_rate == 0.00001173
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assert trade.close_profit is None
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assert trade.close_date is None
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assert trade.borrowed == 90.99181073
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assert trade.is_short is True
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assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
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r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
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caplog)
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caplog.clear()
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#trade.open_order_id = 'something'
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trade.update(limit_exit_short_order)
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#assert trade.open_order_id is None
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assert trade.close_rate == 0.00001099
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assert trade.close_profit == 0.06198845
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assert trade.close_date is not None
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assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
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r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
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caplog)
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@pytest.mark.usefixtures("init_persistence")
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def test_update_market_order(
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market_short_order,
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market_exit_short_order,
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fee,
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ten_minutes_ago,
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caplog
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):
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"""
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Test Kraken and leverage arguments as well as update market order
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Short trade
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fee: 0.25% base
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interest_rate: 0.05% 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: 91.99181073 * leverage(3) = 275.97543219 crypto
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borrowed: 275.97543219 crypto
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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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= 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto
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open_value: (amount * open_rate) - (amount * open_rate * fee)
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= 275.97543219 * 0.00004173 - 275.97543219 * 0.00004173 * 0.0025
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= 0.011487663648325479
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amount_closed: amount + interest = 275.97543219 + 0.137987716095 = 276.113419906095
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close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
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= (276.113419906095 * 0.00004099) + (276.113419906095 * 0.00004099 * 0.0025)
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= 0.01134618380465571
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total_profit = open_value - close_value
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= 0.011487663648325479 - 0.01134618380465571
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= 0.00014147984366976937
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total_profit_percentage = (open_value/close_value) - 1
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= (0.011487663648325479/0.01134618380465571)-1
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= 0.012469377026284034
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"""
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trade = Trade(
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id=1,
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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=0.01,
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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=ten_minutes_ago,
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exchange='kraken'
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)
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trade.open_order_id = 'something'
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trade.update(market_short_order)
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assert trade.leverage == 3.0
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assert trade.is_short == True
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assert trade.open_order_id is None
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assert trade.open_rate == 0.00004173
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assert trade.close_profit is None
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assert trade.close_date is None
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assert trade.interest_rate == 0.0005
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# TODO: Uncomment the next assert and make it work.
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# The logger also has the exact same but there's some spacing in there
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# assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
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# r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
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# caplog)
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caplog.clear()
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trade.is_open = True
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trade.open_order_id = 'something'
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trade.update(market_exit_short_order)
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assert trade.open_order_id is None
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assert trade.close_rate == 0.00004099
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assert trade.close_profit == 0.01246938
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assert trade.close_date is not None
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# TODO: The amount should maybe be the opening amount + the interest
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# TODO: Uncomment the next assert and make it work.
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# The logger also has the exact same but there's some spacing in there
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# assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
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# r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).",
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# 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(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
open_rate=0.01,
|
||||
amount=5,
|
||||
open_date=five_hours_ago,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
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)
|
||||
assert trade._calc_open_trade_value() == 0.0010646656050132426
|
||||
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
|
||||
assert trade.calc_profit() == 0.00006214471967407108
|
||||
assert trade.calc_profit() == 0.00006206117800741065
|
||||
#Profit in percent
|
||||
assert trade.calc_profit_ratio() == 0.06198845388946328
|
||||
assert trade.calc_profit_ratio() == 0.06189996406932852
|
||||
|
||||
|
||||
# @pytest.mark.usefixtures("init_persistence")
|
||||
|
||||
Loading…
Reference in New Issue
Block a user