From 59bafc8d02e291bb0797eeecdc1cd92feadb5517 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 1 May 2020 15:17:52 +0200 Subject: [PATCH] Implement fee rate calculation --- freqtrade/exchange/exchange.py | 33 +++++++++++++++++++++--- tests/exchange/test_exchange.py | 45 +++++++++++++++++++++++++++++---- 2 files changed, 69 insertions(+), 9 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index df7f3005e..ebadd4c8a 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -22,7 +22,7 @@ from freqtrade.data.converter import ohlcv_to_dataframe from freqtrade.exceptions import (DependencyException, InvalidOrderException, OperationalException, TemporaryError) from freqtrade.exchange.common import BAD_EXCHANGES, retrier, retrier_async -from freqtrade.misc import deep_merge_dicts +from freqtrade.misc import deep_merge_dicts, safe_value_fallback CcxtModuleType = Any @@ -1084,8 +1084,33 @@ class Exchange: and order['fee']['cost'] is not None ) - @staticmethod - def extract_cost_curr_rate(order: Dict) -> Tuple[float, str, Optional[float]]: + def calculate_fee_rate(self, order: Dict) -> Optional[float]: + """ + Calculate fee rate if it's not given by the exchange. + :param order: Order or trade (one trade) dict + """ + if order['fee'].get('rate') is not None: + return order['fee'].get('rate') + fee_curr = order['fee']['currency'] + # Calculate fee based on order details + if fee_curr in self.get_pair_base_currency(order['symbol']): + # Base currency - divide by amount + return round(order['fee']['cost'] / order['amount'], 8) + elif fee_curr in self.get_pair_quote_currency(order['symbol']): + # Quote currency - divide by cost + return round(order['fee']['cost'] / order['cost'], 8) + else: + # If Fee currency is a different currency + try: + comb = self.get_valid_pair_combination(fee_curr, self._config['stake_currency']) + tick = self.fetch_ticker(comb) + + fee_to_quote_rate = safe_value_fallback(tick, tick, 'last', 'ask') + return round((order['fee']['cost'] * fee_to_quote_rate) / order['cost'], 8) + except DependencyException: + return None + + def extract_cost_curr_rate(self, order: Dict) -> Tuple[float, str, Optional[float]]: """ Extract tuple of cost, currency, rate. Requires order_has_fee to run first! @@ -1094,7 +1119,7 @@ class Exchange: """ return (order['fee']['cost'], order['fee']['currency'], - order['fee'].get('rate', None)) + self.calculate_fee_rate(order)) # calculate rate ? (order['fee']['cost'] / (order['amount'] * order['price'])) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index f8c572dc8..7a1df5103 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -2159,9 +2159,44 @@ def test_order_has_fee(order, expected) -> None: @pytest.mark.parametrize("order,expected", [ - ({'fee': {'currency': 'ETH/BTC', 'cost': 0.43}}, (0.43, 'ETH/BTC', None)), - ({'fee': {'currency': 'ETH/USDT', 'cost': 0.01}}, (0.01, 'ETH/USDT', None)), - ({'fee': {'currency': 'ETH/USDT', 'cost': 0.34, 'rate': 0.01}}, (0.34, 'ETH/USDT', 0.01)), + ({'symbol': 'ETH/BTC', 'fee': {'currency': 'ETH', 'cost': 0.43}}, + (0.43, 'ETH', 0.01)), + ({'symbol': 'ETH/USDT', 'fee': {'currency': 'USDT', 'cost': 0.01}}, + (0.01, 'USDT', 0.01)), + ({'symbol': 'BTC/USDT', 'fee': {'currency': 'USDT', 'cost': 0.34, 'rate': 0.01}}, + (0.34, 'USDT', 0.01)), ]) -def test_extract_cost_curr_rate(order, expected) -> None: - assert Exchange.extract_cost_curr_rate(order) == expected +def test_extract_cost_curr_rate(mocker, default_conf, order, expected) -> None: + mocker.patch('freqtrade.exchange.Exchange.calculate_fee_rate', MagicMock(return_value=0.01)) + ex = get_patched_exchange(mocker, default_conf) + assert ex.extract_cost_curr_rate(order) == expected + + +@pytest.mark.parametrize("order,expected", [ + # Using base-currency + ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, + 'fee': {'currency': 'ETH', 'cost': 0.004, 'rate': None}}, 0.1), + ({'symbol': 'ETH/BTC', 'amount': 0.05, 'cost': 0.05, + 'fee': {'currency': 'ETH', 'cost': 0.004, 'rate': None}}, 0.08), + # Using quote currency + ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, + 'fee': {'currency': 'BTC', 'cost': 0.005}}, 0.1), + ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, + 'fee': {'currency': 'BTC', 'cost': 0.002, 'rate': None}}, 0.04), + # Using foreign currency + ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, + 'fee': {'currency': 'NEO', 'cost': 0.0012}}, 0.001944), + ({'symbol': 'ETH/BTC', 'amount': 2.21, 'cost': 0.02992561, + 'fee': {'currency': 'NEO', 'cost': 0.00027452}}, 0.00074305), + # TODO: More tests here! + # Rate included in return - return as is + ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, + 'fee': {'currency': 'USDT', 'cost': 0.34, 'rate': 0.01}}, 0.01), + ({'symbol': 'ETH/BTC', 'amount': 0.04, 'cost': 0.05, + 'fee': {'currency': 'USDT', 'cost': 0.34, 'rate': 0.005}}, 0.005), +]) +def test_calculate_fee_rate(mocker, default_conf, order, expected) -> None: + mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', return_value={'last': 0.081}) + + ex = get_patched_exchange(mocker, default_conf) + assert ex.calculate_fee_rate(order) == expected