Moved interest calculation to an enum
This commit is contained in:
Sam Germain
parent
6787461d68
commit
286427c04a
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@ -1,5 +1,6 @@
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# flake8: noqa: F401
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from freqtrade.enums.backteststate import BacktestState
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from freqtrade.enums.interestmode import InterestMode
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from freqtrade.enums.rpcmessagetype import RPCMessageType
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from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode
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from freqtrade.enums.selltype import SellType
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@ -0,0 +1,30 @@
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from enum import Enum, auto
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from decimal import Decimal
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one = Decimal(1.0)
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four = Decimal(4.0)
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twenty_four = Decimal(24.0)
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class FunctionProxy:
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"""Allow to mask a function as an Object."""
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def __init__(self, function):
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self.function = function
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def __call__(self, *args, **kwargs):
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return self.function(*args, **kwargs)
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class InterestMode(Enum):
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"""Equations to calculate interest"""
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# Interest_rate is per day, minimum time of 1 hour
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HOURSPERDAY = FunctionProxy(
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lambda borrowed, rate, hours: borrowed * rate * max(hours, one)/twenty_four
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)
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# Interest_rate is per 4 hours, minimum time of 4 hours
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HOURSPER4 = FunctionProxy(
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lambda borrowed, rate, hours: borrowed * rate * (1 + max(0, (hours-four)/four))
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)
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@ -14,7 +14,7 @@ from sqlalchemy.pool import StaticPool
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from sqlalchemy.sql.schema import UniqueConstraint
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from freqtrade.constants import DATETIME_PRINT_FORMAT
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from freqtrade.enums import SellType
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from freqtrade.enums import InterestMode, SellType
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.misc import safe_value_fallback
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from freqtrade.persistence.migrations import check_migrate
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@ -265,9 +265,10 @@ class LocalTrade():
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# Margin trading properties
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interest_rate: float = 0.0
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liquidation_price: float = None
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liquidation_price: Optional[float] = None
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is_short: bool = False
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leverage: float = 1.0
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interest_mode: Optional[InterestMode] = None
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@property
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def has_no_leverage(self) -> bool:
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@ -585,6 +586,8 @@ class LocalTrade():
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# If nothing was borrowed
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if self.has_no_leverage:
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return zero
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elif not self.interest_mode:
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raise OperationalException(f"Leverage not available on {self.exchange} using freqtrade")
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open_date = self.open_date.replace(tzinfo=None)
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now = (self.close_date or datetime.utcnow()).replace(tzinfo=None)
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@ -594,28 +597,8 @@ class LocalTrade():
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rate = Decimal(interest_rate or self.interest_rate)
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borrowed = Decimal(self.borrowed)
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one = Decimal(1.0)
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twenty_four = Decimal(24.0)
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four = Decimal(4.0)
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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 * max(hours, one)/twenty_four
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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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roll_over_fee = borrowed * rate * max(0, (hours-four)/four)
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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/twenty_four) * max(hours, one)
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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/twenty_four) * max(hours, one)
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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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return self.interest_mode.value(borrowed, rate, 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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@ -857,6 +840,7 @@ class Trade(_DECL_BASE, LocalTrade):
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interest_rate = Column(Float, nullable=False, default=0.0)
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liquidation_price = Column(Float, nullable=True)
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is_short = Column(Boolean, nullable=False, default=False)
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interest_mode = Column(String(100), nullable=True)
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# End of margin trading properties
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def __init__(self, **kwargs):
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@ -8,6 +8,7 @@ import pytest
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from math import isclose
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from sqlalchemy import create_engine, inspect, text
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from freqtrade import constants
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from freqtrade.enums import InterestMode
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db
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from tests.conftest import create_mock_trades_with_leverage, log_has, log_has_re
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@ -49,7 +50,8 @@ def test_interest_kraken(market_leveraged_buy_order, fee):
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fee_close=fee.return_value,
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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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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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# The trades that last 10 minutes do not need to be rounded because they round up to 4 hours on kraken so we can predict the correct value
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@ -69,7 +71,8 @@ def test_interest_kraken(market_leveraged_buy_order, fee):
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fee_close=fee.return_value,
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exchange='kraken',
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leverage=5.0,
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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert float(round(trade.calculate_interest(), 11)
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@ -113,9 +116,9 @@ def test_interest_binance(market_leveraged_buy_order, fee):
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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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leverage=3.0,
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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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# The trades that last 10 minutes do not always need to be rounded because they round up to 4 hours on kraken so we can predict the correct value
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assert round(float(trade.calculate_interest()), 22) == round(4.166666666344583e-08, 22)
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@ -134,7 +137,8 @@ def test_interest_binance(market_leveraged_buy_order, fee):
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fee_close=fee.return_value,
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exchange='binance',
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leverage=5.0,
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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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assert float(round(trade.calculate_interest(), 14)) == round(4.1666666663445834e-07, 14)
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@ -155,6 +159,7 @@ def test_update_open_order(limit_leveraged_buy_order):
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interest_rate=0.0005,
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leverage=3.0,
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exchange='binance',
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interest_mode=InterestMode.HOURSPERDAY
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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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@ -195,7 +200,8 @@ def test_calc_open_trade_value(market_leveraged_buy_order, fee):
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fee_close=fee.return_value,
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interest_rate=0.0005,
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exchange='kraken',
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leverage=3
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leverage=3,
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interest_mode=InterestMode.HOURSPER4
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)
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trade.open_order_id = 'open_trade'
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trade.update(market_leveraged_buy_order) # Buy @ 0.00001099
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@ -243,7 +249,8 @@ def test_calc_open_close_trade_price(limit_leveraged_buy_order, limit_leveraged_
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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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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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trade.open_order_id = 'something'
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trade.update(limit_leveraged_buy_order)
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@ -296,7 +303,8 @@ def test_trade_close(fee):
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open_date=datetime.utcnow() - timedelta(hours=5, minutes=0),
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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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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert trade.close_profit is None
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assert trade.close_date is None
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@ -349,9 +357,9 @@ def test_calc_close_trade_price(market_leveraged_buy_order, market_leveraged_sel
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fee_close=fee.return_value,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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interest_rate=0.0005,
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leverage=3.0,
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exchange='kraken',
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interest_mode=InterestMode.HOURSPER4
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)
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trade.open_order_id = 'close_trade'
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trade.update(market_leveraged_buy_order) # Buy @ 0.00001099
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@ -406,7 +414,8 @@ def test_update_limit_order(limit_leveraged_buy_order, limit_leveraged_sell_orde
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fee_close=fee.return_value,
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leverage=3.0,
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interest_rate=0.0005,
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exchange='binance'
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exchange='binance',
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interest_mode=InterestMode.HOURSPERDAY
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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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@ -474,7 +483,8 @@ def test_update_market_order(market_leveraged_buy_order, market_leveraged_sell_o
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fee_close=fee.return_value,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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interest_rate=0.0005,
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exchange='kraken'
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exchange='kraken',
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interest_mode=InterestMode.HOURSPER4
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)
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trade.open_order_id = 'something'
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trade.update(market_leveraged_buy_order)
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@ -516,7 +526,8 @@ def test_calc_close_trade_price_exception(limit_leveraged_buy_order, fee):
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fee_close=fee.return_value,
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exchange='binance',
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interest_rate=0.0005,
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leverage=3.0
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leverage=3.0,
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interest_mode=InterestMode.HOURSPERDAY
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)
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trade.open_order_id = 'something'
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trade.update(limit_leveraged_buy_order)
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@ -572,7 +583,8 @@ def test_calc_profit(market_leveraged_buy_order, market_leveraged_sell_order, fe
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fee_close=fee.return_value,
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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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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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trade.open_order_id = 'something'
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trade.update(market_leveraged_buy_order) # Buy @ 0.00001099
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@ -8,6 +8,7 @@ import pytest
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from math import isclose
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from sqlalchemy import create_engine, inspect, text
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from freqtrade import constants
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from freqtrade.enums import InterestMode
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db
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from tests.conftest import create_mock_trades_with_leverage, log_has, log_has_re
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@ -48,7 +49,8 @@ def test_interest_kraken(market_short_order, fee):
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exchange='kraken',
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is_short=True,
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leverage=3.0,
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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert float(round(trade.calculate_interest(), 8)) == round(0.137987716095, 8)
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@ -67,7 +69,8 @@ def test_interest_kraken(market_short_order, fee):
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exchange='kraken',
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is_short=True,
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leverage=5.0,
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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert float(round(trade.calculate_interest(), 8)) == round(0.28747440853125, 8)
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@ -111,7 +114,8 @@ def test_interest_binance(market_short_order, fee):
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exchange='binance',
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is_short=True,
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leverage=3.0,
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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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assert float(round(trade.calculate_interest(), 8)) == 0.00574949
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@ -129,7 +133,8 @@ def test_interest_binance(market_short_order, fee):
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exchange='binance',
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is_short=True,
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leverage=5.0,
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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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assert float(round(trade.calculate_interest(), 8)) == 0.04791240
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@ -151,6 +156,7 @@ def test_calc_open_trade_value(market_short_order, fee):
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is_short=True,
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leverage=3.0,
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exchange='kraken',
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interest_mode=InterestMode.HOURSPER4
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)
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trade.open_order_id = 'open_trade'
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trade.update(market_short_order) # Buy @ 0.00001099
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@ -174,6 +180,7 @@ def test_update_open_order(limit_short_order):
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interest_rate=0.0005,
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is_short=True,
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exchange='binance',
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interest_mode=InterestMode.HOURSPERDAY
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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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@ -197,7 +204,8 @@ def test_calc_close_trade_price_exception(limit_short_order, fee):
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exchange='binance',
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interest_rate=0.0005,
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leverage=3.0,
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is_short=True
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is_short=True,
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interest_mode=InterestMode.HOURSPERDAY
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)
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trade.open_order_id = 'something'
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trade.update(limit_short_order)
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@ -235,6 +243,7 @@ def test_calc_close_trade_price(market_short_order, market_exit_short_order, fee
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is_short=True,
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leverage=3.0,
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exchange='kraken',
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interest_mode=InterestMode.HOURSPER4
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)
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trade.open_order_id = 'close_trade'
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trade.update(market_short_order) # Buy @ 0.00001099
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@ -285,7 +294,8 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
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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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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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)
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trade.open_order_id = 'something'
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trade.update(limit_short_order)
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@ -343,7 +353,8 @@ def test_trade_close(fee):
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exchange='kraken',
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is_short=True,
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leverage=3.0,
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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert trade.close_profit is None
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assert trade.close_date is None
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@ -406,7 +417,8 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, cap
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fee_close=fee.return_value,
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# borrowed=90.99181073,
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interest_rate=0.0005,
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exchange='binance'
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exchange='binance',
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interest_mode=InterestMode.HOURSPERDAY
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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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@ -482,7 +494,8 @@ def test_update_market_order(
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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leverage=3.0,
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interest_rate=0.0005,
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exchange='kraken'
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exchange='kraken',
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interest_mode=InterestMode.HOURSPER4
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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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@ -569,7 +582,8 @@ def test_calc_profit(market_short_order, market_exit_short_order, fee):
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exchange='kraken',
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is_short=True,
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leverage=3.0,
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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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trade.open_order_id = 'something'
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trade.update(market_short_order) # Buy @ 0.00001099
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@ -620,7 +634,8 @@ def test_adjust_stop_loss(fee):
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exchange='binance',
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open_rate=1,
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max_rate=1,
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is_short=True
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is_short=True,
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interest_mode=InterestMode.HOURSPERDAY
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)
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trade.adjust_stop_loss(trade.open_rate, 0.05, True)
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assert trade.stop_loss == 1.05
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@ -685,6 +700,7 @@ def test_stoploss_reinitialization(default_conf, fee):
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max_rate=1,
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is_short=True,
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leverage=3.0,
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interest_mode=InterestMode.HOURSPERDAY
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)
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trade.adjust_stop_loss(trade.open_rate, -0.05, True)
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assert trade.stop_loss == 1.05
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