Parametrized test_persistence
This commit is contained in:
Sam Germain
parent
d77ab337bf
commit
5fcb69a0b5
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@ -320,6 +320,7 @@ class LocalTrade():
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if self.isolated_liq:
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self.set_isolated_liq(self.isolated_liq)
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self.recalc_open_trade_value()
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# TODO-lev: Throw exception if on margin and interest_rate is none
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def _set_stop_loss(self, stop_loss: float, percent: float):
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"""
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@ -0,0 +1,3 @@
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# flake8: noqa: F401
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from freqtrade.utils.get_sides import get_sides
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@ -0,0 +1,5 @@
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from typing import Tuple
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def get_sides(is_short: bool) -> Tuple[str, str]:
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return ("sell", "buy") if is_short else ("buy", "sell")
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@ -13,6 +13,7 @@ from sqlalchemy import create_engine, inspect, text
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from freqtrade import constants
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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 freqtrade.utils import get_sides
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from tests.conftest import create_mock_trades, create_mock_trades_with_leverage, log_has, log_has_re
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@ -64,8 +65,10 @@ def test_init_dryrun_db(default_conf, tmpdir):
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assert Path(filename).is_file()
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@pytest.mark.parametrize('is_short', [False, True])
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@pytest.mark.usefixtures("init_persistence")
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def test_enter_exit_side(fee):
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def test_enter_exit_side(fee, is_short):
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enter_side, exit_side = get_sides(is_short)
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trade = Trade(
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id=2,
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pair='ADA/USDT',
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@ -77,16 +80,11 @@ def test_enter_exit_side(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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is_short=False,
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is_short=is_short,
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leverage=2.0
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)
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assert trade.enter_side == 'buy'
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assert trade.exit_side == 'sell'
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trade.is_short = True
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assert trade.enter_side == 'sell'
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assert trade.exit_side == 'buy'
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assert trade.enter_side == enter_side
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assert trade.exit_side == exit_side
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@pytest.mark.usefixtures("init_persistence")
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@ -170,8 +168,32 @@ def test_set_stop_loss_isolated_liq(fee):
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assert trade.initial_stop_loss == 0.09
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@pytest.mark.parametrize('exchange,is_short,lev,minutes,rate,interest', [
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("binance", False, 3, 10, 0.0005, round(0.0008333333333333334, 8)),
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("binance", True, 3, 10, 0.0005, 0.000625),
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("binance", False, 3, 295, 0.0005, round(0.004166666666666667, 8)),
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("binance", True, 3, 295, 0.0005, round(0.0031249999999999997, 8)),
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("binance", False, 3, 295, 0.00025, round(0.0020833333333333333, 8)),
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("binance", True, 3, 295, 0.00025, round(0.0015624999999999999, 8)),
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("binance", False, 5, 295, 0.0005, 0.005),
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("binance", True, 5, 295, 0.0005, round(0.0031249999999999997, 8)),
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("binance", False, 1, 295, 0.0005, 0.0),
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("binance", True, 1, 295, 0.0005, 0.003125),
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("kraken", False, 3, 10, 0.0005, 0.040),
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("kraken", True, 3, 10, 0.0005, 0.030),
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("kraken", False, 3, 295, 0.0005, 0.06),
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("kraken", True, 3, 295, 0.0005, 0.045),
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("kraken", False, 3, 295, 0.00025, 0.03),
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("kraken", True, 3, 295, 0.00025, 0.0225),
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("kraken", False, 5, 295, 0.0005, round(0.07200000000000001, 8)),
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("kraken", True, 5, 295, 0.0005, 0.045),
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("kraken", False, 1, 295, 0.0005, 0.0),
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("kraken", True, 1, 295, 0.0005, 0.045),
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])
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@pytest.mark.usefixtures("init_persistence")
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def test_interest(market_buy_order_usdt, fee):
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def test_interest(market_buy_order_usdt, fee, exchange, is_short, lev, minutes, rate, interest):
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"""
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10min, 5hr limit trade on Binance/Kraken at 3x,5x leverage
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fee: 0.25 % quote
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@ -230,114 +252,27 @@ def test_interest(market_buy_order_usdt, fee):
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stake_amount=20.0,
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amount=30.0,
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open_rate=2.0,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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open_date=datetime.utcnow() - timedelta(minutes=minutes),
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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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exchange=exchange,
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leverage=lev,
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interest_rate=rate,
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is_short=is_short
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)
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# 10min, 3x leverage
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# binance
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assert round(float(trade.calculate_interest()), 8) == round(0.0008333333333333334, 8)
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# kraken
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trade.exchange = "kraken"
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assert float(trade.calculate_interest()) == 0.040
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# Short
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trade.is_short = True
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trade.recalc_open_trade_value()
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# binace
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trade.exchange = "binance"
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assert float(trade.calculate_interest()) == 0.000625
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# kraken
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trade.exchange = "kraken"
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assert isclose(float(trade.calculate_interest()), 0.030)
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# 5hr, long
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trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
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trade.is_short = False
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trade.recalc_open_trade_value()
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# binance
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trade.exchange = "binance"
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assert round(float(trade.calculate_interest()), 8) == round(0.004166666666666667, 8)
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# kraken
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trade.exchange = "kraken"
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assert float(trade.calculate_interest()) == 0.06
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# short
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trade.is_short = True
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trade.recalc_open_trade_value()
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# binace
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trade.exchange = "binance"
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assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8)
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# kraken
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trade.exchange = "kraken"
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assert float(trade.calculate_interest()) == 0.045
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# 0.00025 interest, 5hr, long
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trade.is_short = False
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trade.recalc_open_trade_value()
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# binance
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trade.exchange = "binance"
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assert round(float(trade.calculate_interest(interest_rate=0.00025)),
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8) == round(0.0020833333333333333, 8)
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# kraken
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trade.exchange = "kraken"
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assert isclose(float(trade.calculate_interest(interest_rate=0.00025)), 0.03)
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# short
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trade.is_short = True
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trade.recalc_open_trade_value()
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# binace
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trade.exchange = "binance"
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assert round(float(trade.calculate_interest(interest_rate=0.00025)),
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8) == round(0.0015624999999999999, 8)
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# kraken
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trade.exchange = "kraken"
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assert float(trade.calculate_interest(interest_rate=0.00025)) == 0.0225
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# 5x leverage, 0.0005 interest, 5hr, long
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trade.is_short = False
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trade.recalc_open_trade_value()
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trade.leverage = 5.0
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# binance
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trade.exchange = "binance"
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assert round(float(trade.calculate_interest()), 8) == 0.005
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# kraken
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trade.exchange = "kraken"
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assert float(trade.calculate_interest()) == round(0.07200000000000001, 8)
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# short
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trade.is_short = True
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trade.recalc_open_trade_value()
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# binace
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trade.exchange = "binance"
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assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8)
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# kraken
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trade.exchange = "kraken"
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assert float(trade.calculate_interest()) == 0.045
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# 1x leverage, 0.0005 interest, 5hr
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trade.is_short = False
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trade.recalc_open_trade_value()
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trade.leverage = 1.0
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# binance
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trade.exchange = "binance"
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assert float(trade.calculate_interest()) == 0.0
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# kraken
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trade.exchange = "kraken"
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assert float(trade.calculate_interest()) == 0.0
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# short
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trade.is_short = True
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trade.recalc_open_trade_value()
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# binace
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trade.exchange = "binance"
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assert float(trade.calculate_interest()) == 0.003125
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# kraken
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trade.exchange = "kraken"
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assert float(trade.calculate_interest()) == 0.045
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assert round(float(trade.calculate_interest()), 8) == interest
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@pytest.mark.parametrize('is_short,lev,borrowed', [
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(False, 1.0, 0.0),
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(True, 1.0, 30.0),
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(False, 3.0, 40.0),
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(True, 3.0, 30.0),
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])
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@pytest.mark.usefixtures("init_persistence")
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def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee, caplog):
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def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee,
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caplog, is_short, lev, borrowed):
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"""
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10 minute limit trade on Binance/Kraken at 1x, 3x leverage
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fee: 0.25% quote
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@ -411,20 +346,19 @@ def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee, caplog):
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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=is_short,
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leverage=lev
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)
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assert trade.borrowed == 0
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trade.is_short = True
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trade.recalc_open_trade_value()
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assert trade.borrowed == 30.0
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trade.leverage = 3.0
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assert trade.borrowed == 30.0
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trade.is_short = False
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trade.recalc_open_trade_value()
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assert trade.borrowed == 40.0
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assert trade.borrowed == borrowed
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@pytest.mark.parametrize('is_short,open_rate,close_rate,lev,profit', [
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(False, 2.0, 2.2, 1.0, round(0.0945137157107232, 8)),
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(True, 2.2, 2.0, 3.0, round(0.2589996297562085, 8))
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])
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@pytest.mark.usefixtures("init_persistence")
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def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, caplog):
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def test_update_limit_order(fee, caplog, limit_buy_order_usdt, limit_sell_order_usdt,
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is_short, open_rate, close_rate, lev, profit):
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"""
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10 minute limit trade on Binance/Kraken at 1x, 3x leverage
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fee: 0.25% quote
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@ -494,84 +428,52 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
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"""
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enter_order = limit_sell_order_usdt if is_short else limit_buy_order_usdt
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exit_order = limit_buy_order_usdt if is_short else limit_sell_order_usdt
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enter_side, exit_side = get_sides(is_short)
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trade = Trade(
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id=2,
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pair='ADA/USDT',
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stake_amount=60.0,
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open_rate=2.0,
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amount=30.0,
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is_open=True,
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open_date=arrow.utcnow().datetime,
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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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)
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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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trade.open_order_id = 'something'
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trade.update(limit_buy_order_usdt)
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assert trade.open_order_id is None
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assert trade.open_rate == 2.00
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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 log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
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r'pair=ADA/USDT, amount=30.00000000, '
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r"is_short=False, leverage=1.0, open_rate=2.00000000, open_since=.*\).",
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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.update(limit_sell_order_usdt)
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assert trade.open_order_id is None
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assert trade.close_rate == 2.20
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assert trade.close_profit == round(0.0945137157107232, 8)
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assert trade.close_date is not None
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assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
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r"pair=ADA/USDT, amount=30.00000000, "
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r"is_short=False, leverage=1.0, open_rate=2.00000000, open_since=.*\).",
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caplog)
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caplog.clear()
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trade = Trade(
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id=226531,
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pair='ADA/USDT',
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stake_amount=20.0,
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open_rate=2.0,
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open_rate=open_rate,
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amount=30.0,
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is_open=True,
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open_date=arrow.utcnow().datetime,
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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=3.0,
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is_short=is_short,
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interest_rate=0.0005,
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leverage=lev
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)
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trade.open_order_id = 'something'
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trade.update(limit_sell_order_usdt)
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assert trade.open_order_id is None
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assert trade.open_rate == 2.20
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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 log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=226531, "
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r"pair=ADA/USDT, amount=30.00000000, "
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r"is_short=True, leverage=3.0, open_rate=2.20000000, open_since=.*\).",
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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.update(limit_buy_order_usdt)
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trade.update(enter_order)
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assert trade.open_order_id is None
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assert trade.close_rate == 2.00
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assert trade.close_profit == round(0.2589996297562085, 8)
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assert trade.open_rate == open_rate
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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 log_has_re(f"LIMIT_{enter_side.upper()} has been fulfilled for "
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r"Trade\(id=2, pair=ADA/USDT, amount=30.00000000, "
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f"is_short={is_short}, leverage={lev}, open_rate={open_rate}0000000, "
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r"open_since=.*\).",
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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.update(exit_order)
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assert trade.open_order_id is None
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assert trade.close_rate == close_rate
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assert trade.close_profit == profit
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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\(id=226531, "
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r"pair=ADA/USDT, amount=30.00000000, "
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r"is_short=True, leverage=3.0, open_rate=2.20000000, open_since=.*\).",
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assert log_has_re(f"LIMIT_{exit_side.upper()} has been fulfilled for "
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r"Trade\(id=2, pair=ADA/USDT, amount=30.00000000, "
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f"is_short={is_short}, leverage={lev}, open_rate={open_rate}0000000, "
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r"open_since=.*\).",
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caplog)
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caplog.clear()
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@ -616,9 +518,21 @@ def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee,
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caplog)
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@pytest.mark.parametrize('exchange,is_short,lev,open_value,close_value,profit,profit_ratio', [
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("binance", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232),
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("binance", True, 1, 59.850, 66.1663784375, -6.316378437500013, -0.1055368159983292),
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("binance", False, 3, 60.15, 65.83416667, 5.684166670000003, 0.2834995845386534),
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("binance", True, 3, 59.85, 66.1663784375, -6.316378437500013, -0.3166104479949876),
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("kraken", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232),
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("kraken", True, 1, 59.850, 66.231165, -6.381165, -0.106619298245614),
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("kraken", False, 3, 60.15, 65.795, 5.645, 0.2815461346633419),
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("kraken", True, 3, 59.850, 66.231165, -6.381165000000003, -0.319857894736842),
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])
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@pytest.mark.usefixtures("init_persistence")
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def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee):
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trade = Trade(
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def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee, exchange,
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is_short, lev, open_value, close_value, profit, profit_ratio):
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trade: Trade = Trade(
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pair='ADA/USDT',
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stake_amount=60.0,
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open_rate=2.0,
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@ -627,58 +541,25 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
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interest_rate=0.0005,
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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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exchange=exchange,
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is_short=is_short,
|
||||
leverage=lev
|
||||
)
|
||||
|
||||
trade.open_order_id = 'something'
|
||||
trade.open_order_id = f'something-{is_short}-{lev}-{exchange}'
|
||||
|
||||
trade.update(limit_buy_order_usdt)
|
||||
trade.update(limit_sell_order_usdt)
|
||||
# 1x leverage, binance
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
assert isclose(trade.calc_close_trade_value(), 65.835)
|
||||
assert trade.calc_profit() == 5.685
|
||||
assert trade.calc_profit_ratio() == round(0.0945137157107232, 8)
|
||||
# 3x leverage, binance
|
||||
trade.leverage = 3
|
||||
trade.exchange = "binance"
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
assert round(trade.calc_close_trade_value(), 8) == 65.83416667
|
||||
assert trade.calc_profit() == round(5.684166670000003, 8)
|
||||
assert trade.calc_profit_ratio() == round(0.2834995845386534, 8)
|
||||
trade.exchange = "kraken"
|
||||
# 3x leverage, kraken
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
assert trade.calc_close_trade_value() == 65.795
|
||||
assert trade.calc_profit() == 5.645
|
||||
assert trade.calc_profit_ratio() == round(0.2815461346633419, 8)
|
||||
trade.is_short = True
|
||||
trade.open_rate = 2.0
|
||||
trade.close_rate = 2.2
|
||||
trade.recalc_open_trade_value()
|
||||
# 3x leverage, short, kraken
|
||||
assert trade._calc_open_trade_value() == 59.850
|
||||
assert trade.calc_close_trade_value() == 66.231165
|
||||
assert trade.calc_profit() == round(-6.381165000000003, 8)
|
||||
assert trade.calc_profit_ratio() == round(-0.319857894736842, 8)
|
||||
trade.exchange = "binance"
|
||||
# 3x leverage, short, binance
|
||||
assert trade._calc_open_trade_value() == 59.85
|
||||
assert trade.calc_close_trade_value() == 66.1663784375
|
||||
assert trade.calc_profit() == round(-6.316378437500013, 8)
|
||||
assert trade.calc_profit_ratio() == round(-0.3166104479949876, 8)
|
||||
# 1x leverage, short, binance
|
||||
trade.leverage = 1.0
|
||||
assert trade._calc_open_trade_value() == 59.850
|
||||
assert trade.calc_close_trade_value() == 66.1663784375
|
||||
assert trade.calc_profit() == round(-6.316378437500013, 8)
|
||||
assert trade.calc_profit_ratio() == round(-0.1055368159983292, 8)
|
||||
# 1x leverage, short, kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade._calc_open_trade_value() == 59.850
|
||||
assert trade.calc_close_trade_value() == 66.231165
|
||||
assert trade.calc_profit() == -6.381165
|
||||
assert trade.calc_profit_ratio() == round(-0.106619298245614, 8)
|
||||
assert isclose(trade._calc_open_trade_value(), open_value)
|
||||
assert isclose(trade.calc_close_trade_value(), close_value)
|
||||
assert isclose(trade.calc_profit(), round(profit, 8))
|
||||
assert isclose(trade.calc_profit_ratio(), round(profit_ratio, 8))
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_trade_close(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
trade = Trade(
|
||||
pair='ADA/USDT',
|
||||
|
|
@ -709,7 +590,7 @@ def test_trade_close(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
|||
assert trade.close_date == new_date
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_close_trade_price_exception(limit_buy_order_usdt, fee):
|
||||
trade = Trade(
|
||||
pair='ADA/USDT',
|
||||
|
|
@ -726,7 +607,7 @@ def test_calc_close_trade_price_exception(limit_buy_order_usdt, fee):
|
|||
assert trade.calc_close_trade_value() == 0.0
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_update_open_order(limit_buy_order_usdt):
|
||||
trade = Trade(
|
||||
pair='ADA/USDT',
|
||||
|
|
@ -750,7 +631,7 @@ def test_update_open_order(limit_buy_order_usdt):
|
|||
assert trade.close_date is None
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_update_invalid_order(limit_buy_order_usdt):
|
||||
trade = Trade(
|
||||
pair='ADA/USDT',
|
||||
|
|
@ -766,8 +647,27 @@ def test_update_invalid_order(limit_buy_order_usdt):
|
|||
trade.update(limit_buy_order_usdt)
|
||||
|
||||
|
||||
@pytest.mark.parametrize('exchange', ['binance', 'kraken'])
|
||||
@pytest.mark.parametrize('lev', [1, 3])
|
||||
@pytest.mark.parametrize('is_short,fee_rate,result', [
|
||||
(False, 0.003, 60.18),
|
||||
(False, 0.0025, 60.15),
|
||||
(False, 0.003, 60.18),
|
||||
(False, 0.0025, 60.15),
|
||||
(True, 0.003, 59.82),
|
||||
(True, 0.0025, 59.85),
|
||||
(True, 0.003, 59.82),
|
||||
(True, 0.0025, 59.85)
|
||||
])
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_open_trade_value(limit_buy_order_usdt, fee):
|
||||
def test_calc_open_trade_value(
|
||||
limit_buy_order_usdt,
|
||||
exchange,
|
||||
lev,
|
||||
is_short,
|
||||
fee_rate,
|
||||
result
|
||||
):
|
||||
# 10 minute limit trade on Binance/Kraken at 1x, 3x leverage
|
||||
# fee: 0.25 %, 0.3% quote
|
||||
# open_rate: 2.00 quote
|
||||
|
|
@ -787,90 +687,104 @@ def test_calc_open_trade_value(limit_buy_order_usdt, fee):
|
|||
stake_amount=60.0,
|
||||
amount=30.0,
|
||||
open_rate=2.0,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
|
||||
fee_open=fee_rate,
|
||||
fee_close=fee_rate,
|
||||
exchange=exchange,
|
||||
leverage=lev,
|
||||
is_short=is_short
|
||||
)
|
||||
trade.open_order_id = 'open_trade'
|
||||
trade.update(limit_buy_order_usdt)
|
||||
|
||||
# Get the open rate price with the standard fee rate
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
assert trade._calc_open_trade_value() == 59.85
|
||||
trade.leverage = 3
|
||||
trade.exchange = "binance"
|
||||
assert trade._calc_open_trade_value() == 59.85
|
||||
trade.is_short = False
|
||||
trade.recalc_open_trade_value()
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
|
||||
# Get the open rate price with a custom fee rate
|
||||
trade.fee_open = 0.003
|
||||
|
||||
assert trade._calc_open_trade_value() == 60.18
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
assert trade._calc_open_trade_value() == 59.82
|
||||
assert trade._calc_open_trade_value() == result
|
||||
|
||||
|
||||
@pytest.mark.parametrize('exchange,is_short,lev,open_rate,close_rate,fee_rate,result', [
|
||||
('binance', False, 1, 2.0, 2.5, 0.0025, 74.8125),
|
||||
('binance', False, 1, 2.0, 2.5, 0.003, 74.775),
|
||||
('binance', False, 1, 2.0, 2.2, 0.005, 65.67),
|
||||
('binance', False, 3, 2.0, 2.5, 0.0025, 74.81166667),
|
||||
('binance', False, 3, 2.0, 2.5, 0.003, 74.77416667),
|
||||
('kraken', False, 3, 2.0, 2.5, 0.0025, 74.7725),
|
||||
('kraken', False, 3, 2.0, 2.5, 0.003, 74.735),
|
||||
('kraken', True, 3, 2.2, 2.5, 0.0025, 75.2626875),
|
||||
('kraken', True, 3, 2.2, 2.5, 0.003, 75.300225),
|
||||
('binance', True, 3, 2.2, 2.5, 0.0025, 75.18906641),
|
||||
('binance', True, 3, 2.2, 2.5, 0.003, 75.22656719),
|
||||
('binance', True, 1, 2.2, 2.5, 0.0025, 75.18906641),
|
||||
('binance', True, 1, 2.2, 2.5, 0.003, 75.22656719),
|
||||
('kraken', True, 1, 2.2, 2.5, 0.0025, 75.2626875),
|
||||
('kraken', True, 1, 2.2, 2.5, 0.003, 75.300225),
|
||||
])
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, open_rate,
|
||||
exchange, is_short, lev, close_rate, fee_rate, result):
|
||||
trade = Trade(
|
||||
pair='ADA/USDT',
|
||||
stake_amount=60.0,
|
||||
amount=30.0,
|
||||
open_rate=2.0,
|
||||
open_rate=open_rate,
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
fee_open=fee_rate,
|
||||
fee_close=fee_rate,
|
||||
exchange=exchange,
|
||||
interest_rate=0.0005,
|
||||
is_short=is_short,
|
||||
leverage=lev
|
||||
)
|
||||
trade.open_order_id = 'close_trade'
|
||||
trade.update(limit_buy_order_usdt)
|
||||
|
||||
# 1x leverage binance
|
||||
assert trade.calc_close_trade_value(rate=2.5) == 74.8125
|
||||
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 74.775
|
||||
trade.update(limit_sell_order_usdt)
|
||||
assert trade.calc_close_trade_value(fee=0.005) == 65.67
|
||||
|
||||
# 3x leverage binance
|
||||
trade.leverage = 3.0
|
||||
assert round(trade.calc_close_trade_value(rate=2.5), 8) == 74.81166667
|
||||
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 74.77416667
|
||||
|
||||
# 3x leverage kraken
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_close_trade_value(rate=2.5) == 74.7725
|
||||
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 74.735
|
||||
|
||||
# 3x leverage kraken, short
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.2626875
|
||||
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 75.300225
|
||||
|
||||
# 3x leverage binance, short
|
||||
trade.exchange = "binance"
|
||||
assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.18906641
|
||||
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 75.22656719
|
||||
|
||||
trade.leverage = 1.0
|
||||
# 1x leverage binance, short
|
||||
assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.18906641
|
||||
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 75.22656719
|
||||
|
||||
# 1x leverage kraken, short
|
||||
trade.exchange = "kraken"
|
||||
assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.2626875
|
||||
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 75.300225
|
||||
assert round(trade.calc_close_trade_value(rate=close_rate, fee=fee_rate), 8) == result
|
||||
|
||||
|
||||
@pytest.mark.parametrize('exchange,is_short,lev,close_rate,fee_close,profit,profit_ratio', [
|
||||
('binance', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673),
|
||||
('binance', False, 3, 2.1, 0.0025, 2.69166667, 0.13424771421446402),
|
||||
('binance', True, 1, 2.1, 0.0025, -3.308815781249997, -0.05528514254385963),
|
||||
('binance', True, 3, 2.1, 0.0025, -3.308815781249997, -0.1658554276315789),
|
||||
|
||||
('binance', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632),
|
||||
('binance', False, 3, 1.9, 0.0025, -3.29333333, -0.16425602643391513),
|
||||
('binance', True, 1, 1.9, 0.0025, 2.7063095312499996, 0.045218204365079395),
|
||||
('binance', True, 3, 1.9, 0.0025, 2.7063095312499996, 0.13565461309523819),
|
||||
|
||||
('binance', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232),
|
||||
('binance', False, 3, 2.2, 0.0025, 5.68416667, 0.2834995845386534),
|
||||
('binance', True, 1, 2.2, 0.0025, -6.316378437499999, -0.1055368159983292),
|
||||
('binance', True, 3, 2.2, 0.0025, -6.316378437499999, -0.3166104479949876),
|
||||
|
||||
('kraken', False, 1, 2.1, 0.0025, 2.6925, 0.04476309226932673),
|
||||
('kraken', False, 3, 2.1, 0.0025, 2.6525, 0.13229426433915248),
|
||||
('kraken', True, 1, 2.1, 0.0025, -3.3706575, -0.05631842105263152),
|
||||
('kraken', True, 3, 2.1, 0.0025, -3.3706575, -0.16895526315789455),
|
||||
|
||||
('kraken', False, 1, 1.9, 0.0025, -3.2925, -0.05473815461346632),
|
||||
('kraken', False, 3, 1.9, 0.0025, -3.3325, -0.16620947630922667),
|
||||
('kraken', True, 1, 1.9, 0.0025, 2.6503575, 0.04428333333333334),
|
||||
('kraken', True, 3, 1.9, 0.0025, 2.6503575, 0.13285000000000002),
|
||||
|
||||
('kraken', False, 1, 2.2, 0.0025, 5.685, 0.0945137157107232),
|
||||
('kraken', False, 3, 2.2, 0.0025, 5.645, 0.2815461346633419),
|
||||
('kraken', True, 1, 2.2, 0.0025, -6.381165, -0.106619298245614),
|
||||
('kraken', True, 3, 2.2, 0.0025, -6.381165, -0.319857894736842),
|
||||
|
||||
('binance', False, 1, 2.1, 0.003, 2.6610000000000014, 0.04423940149625927),
|
||||
('binance', False, 1, 1.9, 0.003, -3.320999999999998, -0.05521197007481293),
|
||||
('binance', False, 1, 2.2, 0.003, 5.652000000000008, 0.09396508728179565),
|
||||
])
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
def test_calc_profit(
|
||||
limit_buy_order_usdt,
|
||||
limit_sell_order_usdt,
|
||||
fee,
|
||||
exchange,
|
||||
is_short,
|
||||
lev,
|
||||
close_rate,
|
||||
fee_close,
|
||||
profit,
|
||||
profit_ratio
|
||||
):
|
||||
"""
|
||||
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
|
||||
arguments:
|
||||
|
|
@ -1007,201 +921,19 @@ def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
|||
open_rate=2.0,
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
|
||||
interest_rate=0.0005,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance'
|
||||
exchange=exchange,
|
||||
is_short=is_short,
|
||||
leverage=lev,
|
||||
fee_open=0.0025,
|
||||
fee_close=fee_close
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(limit_buy_order_usdt) # Buy @ 2.0
|
||||
|
||||
# 1x Leverage, long
|
||||
# Custom closing rate and regular fee rate
|
||||
# Higher than open rate - 2.1 quote
|
||||
assert trade.calc_profit(rate=2.1) == 2.6925
|
||||
# Lower than open rate - 1.9 quote
|
||||
assert trade.calc_profit(rate=1.9) == round(-3.292499999999997, 8)
|
||||
|
||||
# fee 0.003
|
||||
# Higher than open rate - 2.1 quote
|
||||
assert trade.calc_profit(rate=2.1, fee=0.003) == 2.661
|
||||
# Lower than open rate - 1.9 quote
|
||||
assert trade.calc_profit(rate=1.9, fee=0.003) == round(-3.320999999999998, 8)
|
||||
|
||||
# Test when we apply a Sell order. Sell higher than open rate @ 2.2
|
||||
trade.update(limit_sell_order_usdt)
|
||||
assert trade.calc_profit() == round(5.684999999999995, 8)
|
||||
|
||||
# Test with a custom fee rate on the close trade
|
||||
assert trade.calc_profit(fee=0.003) == round(5.652000000000008, 8)
|
||||
|
||||
trade.open_trade_value = 0.0
|
||||
trade.open_trade_value = trade._calc_open_trade_value()
|
||||
|
||||
# 3x leverage, long ###################################################
|
||||
trade.leverage = 3.0
|
||||
# Higher than open rate - 2.1 quote
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == 2.69166667
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == 2.6525
|
||||
|
||||
# 1.9 quote
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == -3.29333333
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == -3.3325
|
||||
|
||||
# 2.2 quote
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(fee=0.0025) == 5.68416667
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(fee=0.0025) == 5.645
|
||||
|
||||
# 3x leverage, short ###################################################
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
# 2.1 quote - Higher than open rate
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == round(-3.308815781249997, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == -3.3706575
|
||||
|
||||
# 1.9 quote - Lower than open rate
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == round(2.7063095312499996, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == 2.6503575
|
||||
|
||||
# Test when we apply a Sell order. Uses sell order used above
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(fee=0.0025) == round(-6.316378437499999, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(fee=0.0025) == -6.381165
|
||||
|
||||
# 1x leverage, short ###################################################
|
||||
trade.leverage = 1.0
|
||||
# 2.1 quote - Higher than open rate
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == round(-3.308815781249997, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=2.1, fee=0.0025) == -3.3706575
|
||||
|
||||
# 1.9 quote - Lower than open rate
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == round(2.7063095312499996, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(rate=1.9, fee=0.0025) == 2.6503575
|
||||
|
||||
# Test when we apply a Sell order. Uses sell order used above
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit(fee=0.0025) == round(-6.316378437499999, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit(fee=0.0025) == -6.381165
|
||||
assert trade.calc_profit(rate=close_rate) == round(profit, 8)
|
||||
assert trade.calc_profit_ratio(rate=close_rate) == round(profit_ratio, 8)
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
trade = Trade(
|
||||
pair='ADA/USDT',
|
||||
stake_amount=60.0,
|
||||
amount=30.0,
|
||||
open_rate=2.0,
|
||||
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
|
||||
interest_rate=0.0005,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance'
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(limit_buy_order_usdt) # Buy @ 2.0
|
||||
|
||||
# 1x Leverage, long
|
||||
# Custom closing rate and regular fee rate
|
||||
# Higher than open rate - 2.1 quote
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(0.04476309226932673, 8)
|
||||
# Lower than open rate - 1.9 quote
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(-0.05473815461346632, 8)
|
||||
|
||||
# fee 0.003
|
||||
# Higher than open rate - 2.1 quote
|
||||
assert trade.calc_profit_ratio(rate=2.1, fee=0.003) == round(0.04423940149625927, 8)
|
||||
# Lower than open rate - 1.9 quote
|
||||
assert trade.calc_profit_ratio(rate=1.9, fee=0.003) == round(-0.05521197007481293, 8)
|
||||
|
||||
# Test when we apply a Sell order. Sell higher than open rate @ 2.2
|
||||
trade.update(limit_sell_order_usdt)
|
||||
assert trade.calc_profit_ratio() == round(0.0945137157107232, 8)
|
||||
|
||||
# Test with a custom fee rate on the close trade
|
||||
assert trade.calc_profit_ratio(fee=0.003) == round(0.09396508728179565, 8)
|
||||
|
||||
trade.open_trade_value = 0.0
|
||||
assert trade.calc_profit_ratio(fee=0.003) == 0.0
|
||||
trade.open_trade_value = trade._calc_open_trade_value()
|
||||
|
||||
# 3x leverage, long ###################################################
|
||||
trade.leverage = 3.0
|
||||
# 2.1 quote - Higher than open rate
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(0.13424771421446402, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(0.13229426433915248, 8)
|
||||
|
||||
# 1.9 quote - Lower than open rate
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(-0.16425602643391513, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(-0.16620947630922667, 8)
|
||||
|
||||
# Test when we apply a Sell order. Uses sell order used above
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio() == round(0.2834995845386534, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio() == round(0.2815461346633419, 8)
|
||||
|
||||
# 3x leverage, short ###################################################
|
||||
trade.is_short = True
|
||||
trade.recalc_open_trade_value()
|
||||
# 2.1 quote - Higher than open rate
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(-0.1658554276315789, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(-0.16895526315789455, 8)
|
||||
|
||||
# 1.9 quote - Lower than open rate
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(0.13565461309523819, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(0.13285000000000002, 8)
|
||||
|
||||
# Test when we apply a Sell order. Uses sell order used above
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio() == round(-0.3166104479949876, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio() == round(-0.319857894736842, 8)
|
||||
|
||||
# 1x leverage, short ###################################################
|
||||
trade.leverage = 1.0
|
||||
# 2.1 quote - Higher than open rate
|
||||
trade.exchange = "binance" # binance
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(-0.05528514254385963, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(-0.05631842105263152, 8)
|
||||
|
||||
# 1.9 quote - Lower than open rate
|
||||
trade.exchange = "binance"
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(0.045218204365079395, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(0.04428333333333334, 8)
|
||||
|
||||
# Test when we apply a Sell order. Uses sell order used above
|
||||
trade.exchange = "binance"
|
||||
assert trade.calc_profit_ratio() == round(-0.1055368159983292, 8)
|
||||
trade.exchange = "kraken"
|
||||
assert trade.calc_profit_ratio() == round(-0.106619298245614, 8)
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_clean_dry_run_db(default_conf, fee):
|
||||
|
||||
# Simulate dry_run entries
|
||||
|
|
@ -1612,8 +1344,8 @@ def test_adjust_min_max_rates(fee):
|
|||
assert trade.min_rate == 0.91
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@pytest.mark.parametrize('use_db', [True, False])
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.parametrize('use_db', [True, False])
|
||||
def test_get_open(fee, use_db):
|
||||
Trade.use_db = use_db
|
||||
Trade.reset_trades()
|
||||
|
|
@ -1624,8 +1356,8 @@ def test_get_open(fee, use_db):
|
|||
Trade.use_db = True
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@pytest.mark.parametrize('use_db', [True, False])
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.parametrize('use_db', [True, False])
|
||||
def test_get_open_lev(fee, use_db):
|
||||
Trade.use_db = use_db
|
||||
Trade.reset_trades()
|
||||
|
|
@ -1636,7 +1368,7 @@ def test_get_open_lev(fee, use_db):
|
|||
Trade.use_db = True
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_to_json(default_conf, fee):
|
||||
|
||||
# Simulate dry_run entries
|
||||
|
|
@ -1969,8 +1701,8 @@ def test_fee_updated(fee):
|
|||
assert not trade.fee_updated('asfd')
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@pytest.mark.parametrize('use_db', [True, False])
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.parametrize('use_db', [True, False])
|
||||
def test_total_open_trades_stakes(fee, use_db):
|
||||
|
||||
Trade.use_db = use_db
|
||||
|
|
@ -1984,8 +1716,8 @@ def test_total_open_trades_stakes(fee, use_db):
|
|||
Trade.use_db = True
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@pytest.mark.parametrize('use_db', [True, False])
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.parametrize('use_db', [True, False])
|
||||
def test_get_total_closed_profit(fee, use_db):
|
||||
|
||||
Trade.use_db = use_db
|
||||
|
|
@ -1999,8 +1731,8 @@ def test_get_total_closed_profit(fee, use_db):
|
|||
Trade.use_db = True
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@pytest.mark.parametrize('use_db', [True, False])
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.parametrize('use_db', [True, False])
|
||||
def test_get_trades_proxy(fee, use_db):
|
||||
Trade.use_db = use_db
|
||||
Trade.reset_trades()
|
||||
|
|
@ -2032,7 +1764,7 @@ def test_get_trades_backtest():
|
|||
Trade.use_db = True
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_get_overall_performance(fee):
|
||||
|
||||
create_mock_trades(fee)
|
||||
|
|
@ -2044,7 +1776,7 @@ def test_get_overall_performance(fee):
|
|||
assert 'count' in res[0]
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_get_best_pair(fee):
|
||||
|
||||
res = Trade.get_best_pair()
|
||||
|
|
@ -2057,7 +1789,7 @@ def test_get_best_pair(fee):
|
|||
assert res[1] == 0.01
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_get_best_pair_lev(fee):
|
||||
|
||||
res = Trade.get_best_pair()
|
||||
|
|
@ -2070,7 +1802,7 @@ def test_get_best_pair_lev(fee):
|
|||
assert res[1] == 0.1713156134055116
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_update_order_from_ccxt(caplog):
|
||||
# Most basic order return (only has orderid)
|
||||
o = Order.parse_from_ccxt_object({'id': '1234'}, 'ADA/USDT', 'buy')
|
||||
|
|
@ -2131,7 +1863,7 @@ def test_update_order_from_ccxt(caplog):
|
|||
Order.update_orders([o], {'id': '1234'})
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_select_order(fee):
|
||||
create_mock_trades(fee)
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue