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test_calc_profit on shorts

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This commit is contained in:
Sam Germain 2021-06-28 02:31:25 -06:00
parent 820944e5cd
commit 562f4309db
3 changed files with 125 additions and 124 deletions
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36
freqtrade/persistence/models.py
View File

@ -514,9 +514,6 @@ class LocalTrade():
elif 'leverage' in order:
self.leverage = order['leverage']
if 'interest_rate' in order:
self.interest_rate = order['interest_rate']
self.recalc_open_trade_value()
if self.is_open:
payment = "SELL" if self.is_short else "BUY"
@ -608,10 +605,14 @@ class LocalTrade():
"""
self.open_trade_value = self._calc_open_trade_value()
def calculate_interest(self) -> float:
def calculate_interest(self, interest_rate: Optional[float] = None) -> float:
"""
: param interest_rate: interest_charge for borrowing this coin(optional).
If interest_rate is not set self.interest_rate will be used
"""
# TODO-mg: Need to set other conditions because sometimes self.open_date is not defined, but why would it ever not be set
zero = Decimal(0.0)
if not self.interest_rate or not (self.borrowed):
if not (self.borrowed):
return zero
open_date = self.open_date.replace(tzinfo=None)
@ -622,7 +623,7 @@ class LocalTrade():
#days = total_seconds/sec_per_day or zero
hours = total_seconds/sec_per_hour or zero
rate = Decimal(self.interest_rate)
rate = Decimal(interest_rate or self.interest_rate)
borrowed = Decimal(self.borrowed)
one = Decimal(1.0)
twenty_four = Decimal(24.0)
@ -648,19 +649,22 @@ class LocalTrade():
raise OperationalException("Leverage not available on this exchange")
def calc_close_trade_value(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
fee: Optional[float] = None,
interest_rate: Optional[float] = None) -> float:
"""
Calculate the close_rate including fee
:param fee: fee to use on the close rate (optional).
If rate is not set self.fee will be used
:param rate: rate to compare with (optional).
If rate is not set self.close_rate will be used
:param interest_rate: interest_charge for borrowing this coin (optional).
If interest_rate is not set self.interest_rate will be used
:return: Price in BTC of the open trade
"""
if rate is None and not self.close_rate:
return 0.0
interest = self.calculate_interest()
interest = self.calculate_interest(interest_rate)
if self.is_short:
amount = Decimal(self.amount) + Decimal(interest)
else:
@ -676,18 +680,22 @@ class LocalTrade():
return float(close_trade - fees - interest)
def calc_profit(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
fee: Optional[float] = None,
interest_rate: Optional[float] = None) -> float:
"""
Calculate the absolute profit in stake currency between Close and Open trade
:param fee: fee to use on the close rate (optional).
If fee is not set self.fee will be used
:param rate: close rate to compare with (optional).
If rate is not set self.close_rate will be used
:param interest_rate: interest_charge for borrowing this coin (optional).
If interest_rate is not set self.interest_rate will be used
:return: profit in stake currency as float
"""
close_trade_value = self.calc_close_trade_value(
rate=(rate or self.close_rate),
fee=(fee or self.fee_close)
fee=(fee or self.fee_close),
interest_rate=(interest_rate or self.interest_rate)
)
if self.is_short:
@ -697,17 +705,21 @@ class LocalTrade():
return float(f"{profit:.8f}")
def calc_profit_ratio(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
fee: Optional[float] = None,
interest_rate: Optional[float] = None) -> float:
"""
Calculates the profit as ratio (including fee).
:param rate: rate to compare with (optional).
If rate is not set self.close_rate will be used
:param fee: fee to use on the close rate (optional).
:param interest_rate: interest_charge for borrowing this coin (optional).
If interest_rate is not set self.interest_rate will be used
:return: profit ratio as float
"""
close_trade_value = self.calc_close_trade_value(
rate=(rate or self.close_rate),
fee=(fee or self.fee_close)
fee=(fee or self.fee_close),
interest_rate=(interest_rate or self.interest_rate)
)
if self.is_short:
if close_trade_value == 0.0:

6
tests/conftest.py
View File

@ -2060,8 +2060,7 @@ def limit_short_order_open():
'cost': 0.00106733393,
'remaining': 90.99181073,
'status': 'open',
'is_short': True,
'interest_rate': 0.0005
'is_short': True
}
@ -2114,8 +2113,7 @@ def market_short_order():
'remaining': 0.0,
'status': 'closed',
'is_short': True,
'leverage': 3.0,
'interest_rate': 0.0005
'leverage': 3.0
}

209
tests/test_persistence_margin.py → tests/test_persistence_short.py
View File

@ -53,6 +53,7 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten
fee_open=fee.return_value,
fee_close=fee.return_value,
# borrowed=90.99181073,
interest_rate=0.0005,
exchange='binance'
)
#assert trade.open_order_id is None
@ -127,6 +128,7 @@ def test_update_market_order(
fee_open=fee.return_value,
fee_close=fee.return_value,
open_date=ten_minutes_ago,
interest_rate=0.0005,
exchange='kraken'
)
trade.open_order_id = 'something'
@ -197,7 +199,8 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
open_date=five_hours_ago,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance'
exchange='binance',
interest_rate=0.0005
)
trade.open_order_id = 'something'
trade.update(limit_short_order)
@ -284,6 +287,9 @@ def test_calc_close_trade_price_exception(limit_short_order, fee):
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
interest_rate=0.0005,
is_short=True,
leverage=3.0
)
trade.open_order_id = 'something'
trade.update(limit_short_order)
@ -380,90 +386,102 @@ def test_calc_close_trade_price(market_short_order, market_exit_short_order, ten
assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011374478527360586)
# @pytest.mark.usefixtures("init_persistence")
# def test_calc_profit(market_short_order, market_exit_short_order, fee):
# """
# Five hour short trade on Kraken at 3x leverage
# Short trade
# Exchange: Kraken
# fee: 0.25% base
# interest_rate: 0.05% per 4 hours
# open_rate: 0.02 base
# close_rate: 0.01 base
# leverage: 3.0
# amount: 5 * 3 = 15 crypto
# borrowed: 15 crypto
# time-periods: 5 hours = 5/4
@pytest.mark.usefixtures("init_persistence")
def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ago, five_hours_ago, fee):
"""
10 minute short market trade on Kraken at 3x leverage
Short trade
fee: 0.25% base or 0.3%
interest_rate: 0.05%, 0.25% per 4 hrs
open_rate: 0.00004173 base
close_rate: 0.00004099 base
amount: 91.99181073 * leverage(3) = 275.97543219 crypto
borrowed: 275.97543219 crypto
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
5 hours = 5/4
# interest: borrowed * interest_rate * time-periods
# = 15 * 0.0005 * 5/4 = 0.009375 crypto
# open_value: (amount * open_rate) - (amount * open_rate * fee)
# = (15 * 0.02) - (15 * 0.02 * 0.0025)
# = 0.29925
# amount_closed: amount + interest = 15 + 0.009375 = 15.009375
# close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
# = (15.009375 * 0.01) + (15.009375 * 0.01 * 0.0025)
# = 0.150468984375
# total_profit = open_value - close_value
# = 0.29925 - 0.150468984375
# = 0.148781015625
# total_profit_percentage = (open_value/close_value) - 1
# = (0.29925/0.150468984375)-1
# = 0.9887819489377738
# """
# trade = Trade(
# pair='ETH/BTC',
# stake_amount=0.001,
# amount=5,
# open_rate=0.00001099,
# fee_open=fee.return_value,
# fee_close=fee.return_value,
# exchange='binance',
# )
# trade.open_order_id = 'something'
# trade.update(market_short_order) # Buy @ 0.00001099
# # Custom closing rate and regular fee rate
# # Higher than open rate
# assert trade.calc_profit(rate=0.00004374) == 0.00011753
# # Lower than open rate
# assert trade.calc_profit(rate=0.00000437) == -0.00089086
# # Custom closing rate and custom fee rate
# # Higher than open rate
# assert trade.calc_profit(rate=0.00001234, fee=0.003) == 0.00011697
# # Lower than open rate
# assert trade.calc_profit(rate=0.00000123, fee=0.003) == -0.00089092
# # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
# trade.update(market_exit_short_order)
# assert trade.calc_profit() == 0.00006217
# # Test with a custom fee rate on the close trade
interest: borrowed * interest_rate * time-periods
= 275.97543219 * 0.0005 * 1 = 0.137987716095 crypto
= 275.97543219 * 0.00025 * 5/4 = 0.086242322559375 crypto
= 275.97543219 * 0.0005 * 5/4 = 0.17248464511875 crypto
= 275.97543219 * 0.00025 * 1 = 0.0689938580475 crypto
open_value: (amount * open_rate) - (amount * open_rate * fee)
= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025) = 0.011487663648325479
amount_closed: amount + interest
= 275.97543219 + 0.137987716095 = 276.113419906095
= 275.97543219 + 0.086242322559375 = 276.06167451255936
= 275.97543219 + 0.17248464511875 = 276.14791683511874
= 275.97543219 + 0.0689938580475 = 276.0444260480475
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
(276.113419906095 * 0.00004374) + (276.113419906095 * 0.00004374 * 0.0025) = 0.012107393989159325
(276.06167451255936 * 0.00000437) + (276.06167451255936 * 0.00000437 * 0.0025) = 0.0012094054914139338
(276.14791683511874 * 0.00004374) + (276.14791683511874 * 0.00004374 * 0.003) = 0.012114946012015198
(276.0444260480475 * 0.00000437) + (276.0444260480475 * 0.00000437 * 0.003) = 0.0012099330842554573
total_profit = open_value - close_value
= print(0.011487663648325479 - 0.012107393989159325) = -0.0006197303408338461
= print(0.011487663648325479 - 0.0012094054914139338) = 0.010278258156911545
= print(0.011487663648325479 - 0.012114946012015198) = -0.0006272823636897188
= print(0.011487663648325479 - 0.0012099330842554573) = 0.010277730564070022
total_profit_percentage = (open_value/close_value) - 1
print((0.011487663648325479 / 0.012107393989159325) - 1) = -0.051186105068418364
print((0.011487663648325479 / 0.0012094054914139338) - 1) = 8.498603842864217
print((0.011487663648325479 / 0.012114946012015198) - 1) = -0.05177756162244562
print((0.011487663648325479 / 0.0012099330842554573) - 1) = 8.494461964724694
"""
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
open_rate=0.00001099,
open_date=ten_minutes_ago,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='kraken',
is_short=True,
leverage=3.0,
interest_rate=0.0005
)
trade.open_order_id = 'something'
trade.update(market_short_order) # Buy @ 0.00001099
# Custom closing rate and regular fee rate
# Higher than open rate
assert trade.calc_profit(rate=0.00004374, interest_rate=0.0005) == -0.00061973
# == -0.0006197303408338461
assert trade.calc_profit_ratio(rate=0.00004374, interest_rate=0.0005) == -0.05118611
# == -0.051186105068418364
# Lower than open rate
trade.open_date = five_hours_ago
assert trade.calc_profit(rate=0.00000437, interest_rate=0.00025) == 0.01027826
# == 0.010278258156911545
assert trade.calc_profit_ratio(rate=0.00000437, interest_rate=0.00025) == 8.49860384
# == 8.498603842864217
# Custom closing rate and custom fee rate
# Higher than open rate
assert trade.calc_profit(rate=0.00004374, fee=0.003, interest_rate=0.0005) == -0.00062728
# == -0.0006272823636897188
assert trade.calc_profit_ratio(rate=0.00004374, fee=0.003, interest_rate=0.0005) == -0.05177756
# == -0.05177756162244562
# Lower than open rate
trade.open_date = ten_minutes_ago
assert trade.calc_profit(rate=0.00000437, fee=0.003, interest_rate=0.00025) == 0.01027773
# == 0.010277730564070022
assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003, interest_rate=0.00025) == 8.49446196
# == 8.494461964724694
# Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
trade.update(market_exit_short_order)
assert trade.calc_profit() == 0.00014148
# == 0.00014147984366976937
assert trade.calc_profit_ratio() == 0.01246938
# == 0.012469377026284034
# Test with a custom fee rate on the close trade
# assert trade.calc_profit(fee=0.003) == 0.00006163
# @pytest.mark.usefixtures("init_persistence")
# def test_calc_profit_ratio(limit_buy_order, limit_sell_order, fee):
# trade = Trade(
# pair='ETH/BTC',
# stake_amount=0.001,
# amount=5,
# open_rate=0.00001099,
# fee_open=fee.return_value,
# fee_close=fee.return_value,
# exchange='binance',
# )
# trade.open_order_id = 'something'
# trade.update(limit_buy_order) # Buy @ 0.00001099
# # Get percent of profit with a custom rate (Higher than open rate)
# assert trade.calc_profit_ratio(rate=0.00001234) == 0.11723875
# # Get percent of profit with a custom rate (Lower than open rate)
# assert trade.calc_profit_ratio(rate=0.00000123) == -0.88863828
# # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
# trade.update(limit_sell_order)
# assert trade.calc_profit_ratio() == 0.06201058
# # Test with a custom fee rate on the close trade
# assert trade.calc_profit_ratio(fee=0.003) == 0.06147824
# trade.open_trade_value = 0.0
# assert trade.calc_profit_ratio(fee=0.003) == 0.0
# def test_adjust_stop_loss(fee):
# trade = Trade(
@ -637,33 +655,6 @@ def test_calc_close_trade_price(market_short_order, market_exit_short_order, ten
# assert trade.fee_close == fee_rate
# def test_fee_updated(fee):
# trade = Trade(
# pair='ETH/BTC',
# stake_amount=0.001,
# fee_open=fee.return_value,
# open_date=arrow.utcnow().shift(hours=-2).datetime,
# amount=10,
# fee_close=fee.return_value,
# exchange='binance',
# open_rate=1,
# max_rate=1,
# )
# assert trade.fee_open_currency is None
# assert not trade.fee_updated('buy')
# assert not trade.fee_updated('sell')
# assert not trade.fee_updated('asdf')
# trade.update_fee(0.15, 'BTC', 0.0075, 'buy')
# assert trade.fee_updated('buy')
# assert not trade.fee_updated('sell')
# assert trade.fee_open_currency is not None
# assert trade.fee_close_currency is None
# trade.update_fee(0.15, 'ABC', 0.0075, 'sell')
# assert trade.fee_updated('buy')
# assert trade.fee_updated('sell')
# assert not trade.fee_updated('asfd')
# @pytest.mark.usefixtures("init_persistence")
# @pytest.mark.parametrize('use_db', [True, False])
# def test_total_open_trades_stakes(fee, use_db):