Kraken interest test comes really close to passing
Added more trades to conftest_trades
This commit is contained in:
Sam Germain
parent
876386d2db
commit
3a8a9eb255
@ -270,7 +270,7 @@ class LocalTrade():
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liquidation_price: float = None
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is_short: bool = False
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_borrowed: float = 0.0
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leverage: float = None # * You probably want to use LocalTrade.leverage instead
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_leverage: float = None # * You probably want to use LocalTrade.leverage instead
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# @property
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# def base_currency(self) -> str:
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@ -280,7 +280,7 @@ class LocalTrade():
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@property
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def amount(self) -> float:
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if self.leverage is not None:
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if self._leverage is not None:
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return self._amount * self.leverage
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else:
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return self._amount
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@ -291,20 +291,29 @@ class LocalTrade():
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@property
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def borrowed(self) -> float:
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if self.leverage is not None:
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if self._leverage is not None:
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if self.is_short:
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# If shorting the full amount must be borrowed
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return self._amount * self.leverage
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return self._amount * self._leverage
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else:
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# If not shorting, then the trader already owns a bit
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return self._amount * (self.leverage-1)
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return self._amount * (self._leverage-1)
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else:
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return self._borrowed
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@borrowed.setter
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def borrowed(self, value):
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self._borrowed = value
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self.leverage = None
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self._leverage = None
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@property
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def leverage(self) -> float:
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return self._leverage
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@leverage.setter
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def leverage(self, value):
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self._leverage = value
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self._borrowed = None
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# End of margin trading properties
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@ -896,7 +905,7 @@ class Trade(_DECL_BASE, LocalTrade):
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timeframe = Column(Integer, nullable=True)
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# Margin trading properties
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leverage: float = None # * You probably want to use LocalTrade.leverage instead
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_leverage: float = None # * You probably want to use LocalTrade.leverage instead
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_borrowed = Column(Float, nullable=False, default=0.0)
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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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@ -347,13 +347,13 @@ def short_trade(fee):
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trade = Trade(
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pair='ETC/BTC',
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stake_amount=0.001,
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amount=123.0, # TODO-mg: In BTC?
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amount=123.0,
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amount_requested=123.0,
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fee_open=fee.return_value,
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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=0.005, # TODO-mg: Would this be -0.005 or -0.025
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close_profit=0.025,
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close_profit_abs=0.000584127,
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exchange='binance',
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is_open=False,
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@ -56,14 +56,14 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten
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interest_rate=0.0005,
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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.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.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_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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@ -73,9 +73,9 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten
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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.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.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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@ -208,7 +208,7 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
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assert isclose(trade.calc_close_trade_value(), 0.001002604427005832)
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# Profit in BTC
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assert isclose(trade.calc_profit(), 0.00006206)
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#Profit in percent
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# Profit in percent
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assert isclose(trade.calc_profit_ratio(), 0.06189996)
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@ -266,7 +266,7 @@ def test_trade_close(fee, five_hours_ago):
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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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#new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime,
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# new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime,
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# assert trade.close_date != new_date
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# # Close should NOT update close_date if the trade has been closed already
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# assert trade.is_open is False
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@ -405,7 +405,7 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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= 275.97543219 * 0.00025 * 1 = 0.0689938580475 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) = 0.011487663648325479
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amount_closed: amount + interest
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amount_closed: amount + interest
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= 275.97543219 + 0.137987716095 = 276.113419906095
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= 275.97543219 + 0.086242322559375 = 276.06167451255936
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= 275.97543219 + 0.17248464511875 = 276.14791683511874
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@ -484,16 +484,16 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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@pytest.mark.usefixtures("init_persistence")
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def test_interest_kraken(market_short_order, ten_minutes_ago, five_hours_ago, fee):
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"""
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"""
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Market trade on Kraken at 3x and 8x leverage
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Short trade
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interest_rate: 0.05%, 0.25% per 4 hrs
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open_rate: 0.00004173 base
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close_rate: 0.00004099 base
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amount:
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amount:
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91.99181073 * leverage(3) = 275.97543219 crypto
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91.99181073 * leverage(5) = 459.95905365 crypto
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borrowed:
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borrowed:
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275.97543219 crypto
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459.95905365 crypto
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time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
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@ -502,14 +502,14 @@ def test_interest_kraken(market_short_order, ten_minutes_ago, five_hours_ago, fe
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interest: borrowed * interest_rate * time-periods
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= 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto
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= 275.97543219 * 0.00025 * 5/4 = 0.086242322559375 crypto
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= 459.95905365 * 0.0005 * 5/4 = 0.17248464511875 crypto
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= 459.95905365 * 0.00025 * 1 = 0.0689938580475 crypto
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= 459.95905365 * 0.0005 * 5/4 = 0.28747440853125 crypto
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= 459.95905365 * 0.00025 * 1 = 0.1149897634125 crypto
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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amount=91.99181073,
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open_rate=0.00001099,
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open_date=ten_minutes_ago,
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fee_open=fee.return_value,
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@ -519,19 +519,18 @@ def test_interest_kraken(market_short_order, ten_minutes_ago, five_hours_ago, fe
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leverage=3.0,
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interest_rate=0.0005
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)
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trade.update(market_short_order) # Buy @ 0.00001099
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assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.137987716095)
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assert float(round(trade.calculate_interest(), 8)) == 0.13798772
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trade.open_date = five_hours_ago
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assert isclose(float("{:.15f}".format(
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trade.calculate_interest(interest_rate=0.00025))), 0.086242322559375)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)
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) == 0.08624232 # TODO: Fails with 0.08624233
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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amount=91.99181073,
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open_rate=0.00001099,
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open_date=ten_minutes_ago,
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open_date=five_hours_ago,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='kraken',
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@ -539,76 +538,71 @@ def test_interest_kraken(market_short_order, ten_minutes_ago, five_hours_ago, fe
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leverage=5.0,
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interest_rate=0.0005
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)
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trade.update(market_short_order) # Buy @ 0.00001099
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assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.17248464511875)
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assert float(round(trade.calculate_interest(), 8)) == 0.28747441 # TODO: Fails with 0.28747445
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trade.open_date = ten_minutes_ago
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assert isclose(float("{:.15f}".format(
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trade.calculate_interest(interest_rate=0.00025))), 0.0689938580475)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)) == 0.11498976
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@pytest.mark.usefixtures("init_persistence")
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def test_interest_binance(market_short_order, ten_minutes_ago, five_hours_ago, fee):
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"""
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"""
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Market trade on Binance at 3x and 5x leverage
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Short trade
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interest_rate: 0.05%, 0.25% per 1 day
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open_rate: 0.00004173 base
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close_rate: 0.00004099 base
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amount:
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amount:
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91.99181073 * leverage(3) = 275.97543219 crypto
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91.99181073 * leverage(5) = 459.95905365 crypto
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borrowed:
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borrowed:
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275.97543219 crypto
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459.95905365 crypto
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time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
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5 hours = 5/24
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interest: borrowed * interest_rate * time-periods
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= print(275.97543219 * 0.0005 * 1/24) = 0.005749488170625 crypto
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= print(275.97543219 * 0.00025 * 5/24) = 0.0143737204265625 crypto
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= print(459.95905365 * 0.0005 * 5/24) = 0.047912401421875 crypto
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= print(459.95905365 * 0.00025 * 1/24) = 0.0047912401421875 crypto
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= 275.97543219 * 0.0005 * 1/24 = 0.005749488170625 crypto
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= 275.97543219 * 0.00025 * 5/24 = 0.0143737204265625 crypto
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= 459.95905365 * 0.0005 * 5/24 = 0.047912401421875 crypto
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= 459.95905365 * 0.00025 * 1/24 = 0.0047912401421875 crypto
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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amount=275.97543219,
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open_rate=0.00001099,
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open_date=ten_minutes_ago,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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is_short=True,
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borrowed=275.97543219,
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interest_rate=0.0005
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)
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trade.update(market_short_order) # Buy @ 0.00001099
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assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.005749488170625)
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assert float(round(trade.calculate_interest(), 8)) == 0.00574949
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trade.open_date = five_hours_ago
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assert isclose(float("{:.15f}".format(
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trade.calculate_interest(interest_rate=0.00025))), 0.0143737204265625)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)) == 0.01437372
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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amount=459.95905365,
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open_rate=0.00001099,
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open_date=ten_minutes_ago,
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open_date=five_hours_ago,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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is_short=True,
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leverage=5.0,
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borrowed=459.95905365,
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interest_rate=0.0005
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)
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trade.update(market_short_order) # Buy @ 0.00001099
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assert isclose(float("{:.15f}".format(trade.calculate_interest())), 0.047912401421875)
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assert float(round(trade.calculate_interest(), 8)) == 0.04791240
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trade.open_date = ten_minutes_ago
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assert isclose(float("{:.15f}".format(
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trade.calculate_interest(interest_rate=0.00025))), 0.0047912401421875)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)) == 0.00479124
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def test_adjust_stop_loss(fee):
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