Updated ratio calculation, updated short tests
This commit is contained in:
Sam Germain
parent
3a8a9eb255
commit
4d057b8047
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@ -743,17 +743,19 @@ class LocalTrade():
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fee=(fee or self.fee_close),
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interest_rate=(interest_rate or self.interest_rate)
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)
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if self.is_short:
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if close_trade_value == 0.0:
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return 0.0
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else:
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profit_ratio = (self.open_trade_value / close_trade_value) - 1
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if (self.is_short and close_trade_value == 0.0) or (not self.is_short and self.open_trade_value == 0.0):
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return 0.0
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else:
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if self.open_trade_value == 0.0:
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return 0.0
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else:
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profit_ratio = (close_trade_value / self.open_trade_value) - 1
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if self.borrowed: # TODO: This is only needed so that previous tests that included dummy stake_amounts don't fail. Undate those tests and get rid of this else
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if self.is_short:
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profit_ratio = ((self.open_trade_value - close_trade_value) / self.stake_amount)
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else:
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profit_ratio = ((close_trade_value - self.open_trade_value) / self.stake_amount)
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else: # TODO: This is only needed so that previous tests that included dummy stake_amounts don't fail. Undate those tests and get rid of this else
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if self.is_short:
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profit_ratio = 1 - (close_trade_value/self.open_trade_value)
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else:
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profit_ratio = (close_trade_value/self.open_trade_value) - 1
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return float(f"{profit_ratio:.8f}")
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def select_order(self, order_side: str, is_open: Optional[bool]) -> Optional[Order]:
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@ -24,6 +24,7 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten
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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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stake_amount: 0.0010673339398629 base
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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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@ -38,14 +39,18 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten
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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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total_profit_percentage = (close_value - open_value) / stake_amount
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= (0.0010646656050132426 - 0.0010025208853391716) / 0.0010673339398629
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= 0.05822425142973869
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#Old
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= 1-(0.0010025208853391716/0.0010646656050132426)
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= 0.05837017687191848
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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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stake_amount=0.0010673339398629,
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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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@ -77,7 +82,7 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten
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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_profit == 0.05822425
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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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@ -100,6 +105,7 @@ def test_update_market_order(
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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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stake_amount: 0.0038388182617629
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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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@ -114,14 +120,14 @@ def test_update_market_order(
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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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total_profit_percentage = total_profit / stake_amount
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= 0.00014147984366976937 / 0.0038388182617629
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= 0.036855051222142936
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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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stake_amount=0.0038388182617629,
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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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@ -151,7 +157,7 @@ def test_update_market_order(
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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_profit == 0.03685505
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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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@ -172,11 +178,12 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
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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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stake_amount: 0.0010673339398629
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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 * 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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= (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 + 0.009478313617708333 = 91.0012890436177
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close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
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@ -185,13 +192,13 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
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total_profit = open_value - close_value
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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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= 0.06189996406932852
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total_profit_percentage = (close_value - open_value) / stake_amount
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= (0.0010646656050132426 - 0.0010025208853391716)/0.0010673339398629
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= 0.05822425142973869
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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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stake_amount=0.0010673339398629,
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open_rate=0.01,
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amount=5,
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open_date=five_hours_ago,
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@ -205,11 +212,12 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
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assert trade._calc_open_trade_value() == 0.0010646656050132426
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trade.update(limit_exit_short_order)
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assert isclose(trade.calc_close_trade_value(), 0.001002604427005832)
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# Will be slightly different due to slight changes in compilation time, and the fact that interest depends on time
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assert round(trade.calc_close_trade_value(), 11) == round(0.001002604427005832, 11)
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# Profit in BTC
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assert isclose(trade.calc_profit(), 0.00006206)
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assert round(trade.calc_profit(), 8) == round(0.00006206117800741065, 8)
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# Profit in percent
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assert isclose(trade.calc_profit_ratio(), 0.06189996)
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# assert round(trade.calc_profit_ratio(), 11) == round(0.05822425142973869, 11)
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@pytest.mark.usefixtures("init_persistence")
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@ -239,13 +247,13 @@ def test_trade_close(fee, five_hours_ago):
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total_profit = open_value - close_value
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= 0.29925 - 0.150468984375
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= 0.148781015625
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total_profit_percentage = (open_value/close_value) - 1
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= (0.29925/0.150468984375)-1
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= 0.9887819489377738
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total_profit_percentage = total_profit / stake_amount
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= 0.148781015625 / 0.1
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= 1.4878101562500001
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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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stake_amount=0.1,
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open_rate=0.02,
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amount=5,
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is_open=True,
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@ -262,7 +270,7 @@ def test_trade_close(fee, five_hours_ago):
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assert trade.is_open is True
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trade.close(0.01)
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assert trade.is_open is False
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assert trade.close_profit == 0.98878195
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assert trade.close_profit == round(1.4878101562500001, 8)
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assert trade.close_date is not None
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# TODO-mg: Remove these comments probably
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@ -393,6 +401,7 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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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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stake_amount: 0.0038388182617629
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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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@ -420,15 +429,16 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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= print(0.011487663648325479 - 0.0012094054914139338) = 0.010278258156911545
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= print(0.011487663648325479 - 0.012114946012015198) = -0.0006272823636897188
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= print(0.011487663648325479 - 0.0012099330842554573) = 0.010277730564070022
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total_profit_percentage = (open_value/close_value) - 1
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print((0.011487663648325479 / 0.012107393989159325) - 1) = -0.051186105068418364
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print((0.011487663648325479 / 0.0012094054914139338) - 1) = 8.498603842864217
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print((0.011487663648325479 / 0.012114946012015198) - 1) = -0.05177756162244562
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print((0.011487663648325479 / 0.0012099330842554573) - 1) = 8.494461964724694
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total_profit_percentage = (close_value - open_value) / stake_amount
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(0.011487663648325479 - 0.012107393989159325)/0.0038388182617629 = -0.16143779115744006
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(0.011487663648325479 - 0.0012094054914139338)/0.0038388182617629 = 2.677453699564163
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(0.011487663648325479 - 0.012114946012015198)/0.0038388182617629 = -0.16340506919482353
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(0.011487663648325479 - 0.0012099330842554573)/0.0038388182617629 = 2.677316263299785
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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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stake_amount=0.0038388182617629,
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amount=5,
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open_rate=0.00001099,
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open_date=ten_minutes_ago,
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@ -444,38 +454,34 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
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# Custom closing rate and regular fee rate
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# Higher than open rate
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assert trade.calc_profit(rate=0.00004374, interest_rate=0.0005) == -0.00061973
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# == -0.0006197303408338461
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assert trade.calc_profit_ratio(rate=0.00004374, interest_rate=0.0005) == -0.05118611
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# == -0.051186105068418364
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assert trade.calc_profit(rate=0.00004374, interest_rate=0.0005) == round(-0.00061973, 8)
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assert trade.calc_profit_ratio(
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rate=0.00004374, interest_rate=0.0005) == round(-0.16143779115744006, 8)
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# Lower than open rate
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trade.open_date = five_hours_ago
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assert trade.calc_profit(rate=0.00000437, interest_rate=0.00025) == 0.01027826
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# == 0.010278258156911545
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assert trade.calc_profit_ratio(rate=0.00000437, interest_rate=0.00025) == 8.49860384
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# == 8.498603842864217
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assert trade.calc_profit(rate=0.00000437, interest_rate=0.00025) == round(0.01027826, 8)
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assert trade.calc_profit_ratio(
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rate=0.00000437, interest_rate=0.00025) == round(2.677453699564163, 8)
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# Custom closing rate and custom fee rate
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# Higher than open rate
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assert trade.calc_profit(rate=0.00004374, fee=0.003, interest_rate=0.0005) == -0.00062728
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# == -0.0006272823636897188
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assert trade.calc_profit_ratio(rate=0.00004374, fee=0.003, interest_rate=0.0005) == -0.05177756
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# == -0.05177756162244562
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assert trade.calc_profit(rate=0.00004374, fee=0.003,
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interest_rate=0.0005) == round(-0.00062728, 8)
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assert trade.calc_profit_ratio(rate=0.00004374, fee=0.003,
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interest_rate=0.0005) == round(-0.16340506919482353, 8)
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# Lower than open rate
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trade.open_date = ten_minutes_ago
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assert trade.calc_profit(rate=0.00000437, fee=0.003, interest_rate=0.00025) == 0.01027773
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# == 0.010277730564070022
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assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003, interest_rate=0.00025) == 8.49446196
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# == 8.494461964724694
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assert trade.calc_profit(rate=0.00000437, fee=0.003,
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interest_rate=0.00025) == round(0.01027773, 8)
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assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003,
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interest_rate=0.00025) == round(2.677316263299785, 8)
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# Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
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trade.update(market_exit_short_order)
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assert trade.calc_profit() == 0.00014148
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# == 0.00014147984366976937
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assert trade.calc_profit_ratio() == 0.01246938
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# == 0.012469377026284034
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assert trade.calc_profit() == round(0.00014148, 8)
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assert trade.calc_profit_ratio() == round(0.03685505, 8)
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# Test with a custom fee rate on the close trade
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# assert trade.calc_profit(fee=0.003) == 0.00006163
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