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Parametrized test_persistence

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This commit is contained in:
Sam Germain 2021-09-14 23:10:10 -06:00
parent d77ab337bf
commit 5fcb69a0b5
4 changed files with 244 additions and 503 deletions
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1
freqtrade/persistence/models.py
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@ -320,6 +320,7 @@ class LocalTrade():
if self.isolated_liq:
self.set_isolated_liq(self.isolated_liq)
self.recalc_open_trade_value()
# TODO-lev: Throw exception if on margin and interest_rate is none
def _set_stop_loss(self, stop_loss: float, percent: float):
"""

3
freqtrade/utils/__init__.py Normal file
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@ -0,0 +1,3 @@
# flake8: noqa: F401
from freqtrade.utils.get_sides import get_sides

5
freqtrade/utils/get_sides.py Normal file
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@ -0,0 +1,5 @@
from typing import Tuple
def get_sides(is_short: bool) -> Tuple[str, str]:
return ("sell", "buy") if is_short else ("buy", "sell")

696
tests/test_persistence.py
View File

@ -13,6 +13,7 @@ from sqlalchemy import create_engine, inspect, text
from freqtrade import constants
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db
from freqtrade.utils import get_sides
from tests.conftest import create_mock_trades, create_mock_trades_with_leverage, log_has, log_has_re
@ -64,8 +65,10 @@ def test_init_dryrun_db(default_conf, tmpdir):
assert Path(filename).is_file()
@pytest.mark.parametrize('is_short', [False, True])
@pytest.mark.usefixtures("init_persistence")
def test_enter_exit_side(fee):
def test_enter_exit_side(fee, is_short):
enter_side, exit_side = get_sides(is_short)
trade = Trade(
id=2,
pair='ADA/USDT',
@ -77,16 +80,11 @@ def test_enter_exit_side(fee):
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
is_short=False,
is_short=is_short,
leverage=2.0
)
assert trade.enter_side == 'buy'
assert trade.exit_side == 'sell'
trade.is_short = True
assert trade.enter_side == 'sell'
assert trade.exit_side == 'buy'
assert trade.enter_side == enter_side
assert trade.exit_side == exit_side
@pytest.mark.usefixtures("init_persistence")
@ -170,8 +168,32 @@ def test_set_stop_loss_isolated_liq(fee):
assert trade.initial_stop_loss == 0.09
@pytest.mark.parametrize('exchange,is_short,lev,minutes,rate,interest', [
("binance", False, 3, 10, 0.0005, round(0.0008333333333333334, 8)),
("binance", True, 3, 10, 0.0005, 0.000625),
("binance", False, 3, 295, 0.0005, round(0.004166666666666667, 8)),
("binance", True, 3, 295, 0.0005, round(0.0031249999999999997, 8)),
("binance", False, 3, 295, 0.00025, round(0.0020833333333333333, 8)),
("binance", True, 3, 295, 0.00025, round(0.0015624999999999999, 8)),
("binance", False, 5, 295, 0.0005, 0.005),
("binance", True, 5, 295, 0.0005, round(0.0031249999999999997, 8)),
("binance", False, 1, 295, 0.0005, 0.0),
("binance", True, 1, 295, 0.0005, 0.003125),
("kraken", False, 3, 10, 0.0005, 0.040),
("kraken", True, 3, 10, 0.0005, 0.030),
("kraken", False, 3, 295, 0.0005, 0.06),
("kraken", True, 3, 295, 0.0005, 0.045),
("kraken", False, 3, 295, 0.00025, 0.03),
("kraken", True, 3, 295, 0.00025, 0.0225),
("kraken", False, 5, 295, 0.0005, round(0.07200000000000001, 8)),
("kraken", True, 5, 295, 0.0005, 0.045),
("kraken", False, 1, 295, 0.0005, 0.0),
("kraken", True, 1, 295, 0.0005, 0.045),
])
@pytest.mark.usefixtures("init_persistence")
def test_interest(market_buy_order_usdt, fee):
def test_interest(market_buy_order_usdt, fee, exchange, is_short, lev, minutes, rate, interest):
"""
10min, 5hr limit trade on Binance/Kraken at 3x,5x leverage
fee: 0.25 % quote
@ -230,114 +252,27 @@ def test_interest(market_buy_order_usdt, fee):
stake_amount=20.0,
amount=30.0,
open_rate=2.0,
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
open_date=datetime.utcnow() - timedelta(minutes=minutes),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
leverage=3.0,
interest_rate=0.0005,
exchange=exchange,
leverage=lev,
interest_rate=rate,
is_short=is_short
)
# 10min, 3x leverage
# binance
assert round(float(trade.calculate_interest()), 8) == round(0.0008333333333333334, 8)
# kraken
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.040
# Short
trade.is_short = True
trade.recalc_open_trade_value()
# binace
trade.exchange = "binance"
assert float(trade.calculate_interest()) == 0.000625
# kraken
trade.exchange = "kraken"
assert isclose(float(trade.calculate_interest()), 0.030)
# 5hr, long
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
trade.is_short = False
trade.recalc_open_trade_value()
# binance
trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == round(0.004166666666666667, 8)
# kraken
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.06
# short
trade.is_short = True
trade.recalc_open_trade_value()
# binace
trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8)
# kraken
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.045
# 0.00025 interest, 5hr, long
trade.is_short = False
trade.recalc_open_trade_value()
# binance
trade.exchange = "binance"
assert round(float(trade.calculate_interest(interest_rate=0.00025)),
8) == round(0.0020833333333333333, 8)
# kraken
trade.exchange = "kraken"
assert isclose(float(trade.calculate_interest(interest_rate=0.00025)), 0.03)
# short
trade.is_short = True
trade.recalc_open_trade_value()
# binace
trade.exchange = "binance"
assert round(float(trade.calculate_interest(interest_rate=0.00025)),
8) == round(0.0015624999999999999, 8)
# kraken
trade.exchange = "kraken"
assert float(trade.calculate_interest(interest_rate=0.00025)) == 0.0225
# 5x leverage, 0.0005 interest, 5hr, long
trade.is_short = False
trade.recalc_open_trade_value()
trade.leverage = 5.0
# binance
trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == 0.005
# kraken
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == round(0.07200000000000001, 8)
# short
trade.is_short = True
trade.recalc_open_trade_value()
# binace
trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8)
# kraken
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.045
# 1x leverage, 0.0005 interest, 5hr
trade.is_short = False
trade.recalc_open_trade_value()
trade.leverage = 1.0
# binance
trade.exchange = "binance"
assert float(trade.calculate_interest()) == 0.0
# kraken
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.0
# short
trade.is_short = True
trade.recalc_open_trade_value()
# binace
trade.exchange = "binance"
assert float(trade.calculate_interest()) == 0.003125
# kraken
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.045
assert round(float(trade.calculate_interest()), 8) == interest
@pytest.mark.parametrize('is_short,lev,borrowed', [
(False, 1.0, 0.0),
(True, 1.0, 30.0),
(False, 3.0, 40.0),
(True, 3.0, 30.0),
])
@pytest.mark.usefixtures("init_persistence")
def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee, caplog):
def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee,
caplog, is_short, lev, borrowed):
"""
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
fee: 0.25% quote
@ -411,20 +346,19 @@ def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee, caplog):
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
is_short=is_short,
leverage=lev
)
assert trade.borrowed == 0
trade.is_short = True
trade.recalc_open_trade_value()
assert trade.borrowed == 30.0
trade.leverage = 3.0
assert trade.borrowed == 30.0
trade.is_short = False
trade.recalc_open_trade_value()
assert trade.borrowed == 40.0
assert trade.borrowed == borrowed
@pytest.mark.parametrize('is_short,open_rate,close_rate,lev,profit', [
(False, 2.0, 2.2, 1.0, round(0.0945137157107232, 8)),
(True, 2.2, 2.0, 3.0, round(0.2589996297562085, 8))
])
@pytest.mark.usefixtures("init_persistence")
def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, caplog):
def test_update_limit_order(fee, caplog, limit_buy_order_usdt, limit_sell_order_usdt,
is_short, open_rate, close_rate, lev, profit):
"""
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
fee: 0.25% quote
@ -494,84 +428,52 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
"""
enter_order = limit_sell_order_usdt if is_short else limit_buy_order_usdt
exit_order = limit_buy_order_usdt if is_short else limit_sell_order_usdt
enter_side, exit_side = get_sides(is_short)
trade = Trade(
id=2,
pair='ADA/USDT',
stake_amount=60.0,
open_rate=2.0,
amount=30.0,
is_open=True,
open_date=arrow.utcnow().datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance'
)
assert trade.open_order_id is None
assert trade.close_profit is None
assert trade.close_date is None
trade.open_order_id = 'something'
trade.update(limit_buy_order_usdt)
assert trade.open_order_id is None
assert trade.open_rate == 2.00
assert trade.close_profit is None
assert trade.close_date is None
assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
r'pair=ADA/USDT, amount=30.00000000, '
r"is_short=False, leverage=1.0, open_rate=2.00000000, open_since=.*\).",
caplog)
caplog.clear()
trade.open_order_id = 'something'
trade.update(limit_sell_order_usdt)
assert trade.open_order_id is None
assert trade.close_rate == 2.20
assert trade.close_profit == round(0.0945137157107232, 8)
assert trade.close_date is not None
assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
r"pair=ADA/USDT, amount=30.00000000, "
r"is_short=False, leverage=1.0, open_rate=2.00000000, open_since=.*\).",
caplog)
caplog.clear()
trade = Trade(
id=226531,
pair='ADA/USDT',
stake_amount=20.0,
open_rate=2.0,
open_rate=open_rate,
amount=30.0,
is_open=True,
open_date=arrow.utcnow().datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
is_short=True,
leverage=3.0,
is_short=is_short,
interest_rate=0.0005,
leverage=lev
)
trade.open_order_id = 'something'
trade.update(limit_sell_order_usdt)
assert trade.open_order_id is None
assert trade.open_rate == 2.20
assert trade.close_profit is None
assert trade.close_date is None
assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=226531, "
r"pair=ADA/USDT, amount=30.00000000, "
r"is_short=True, leverage=3.0, open_rate=2.20000000, open_since=.*\).",
caplog)
caplog.clear()
trade.open_order_id = 'something'
trade.update(limit_buy_order_usdt)
trade.update(enter_order)
assert trade.open_order_id is None
assert trade.close_rate == 2.00
assert trade.close_profit == round(0.2589996297562085, 8)
assert trade.open_rate == open_rate
assert trade.close_profit is None
assert trade.close_date is None
assert log_has_re(f"LIMIT_{enter_side.upper()} has been fulfilled for "
r"Trade\(id=2, pair=ADA/USDT, amount=30.00000000, "
f"is_short={is_short}, leverage={lev}, open_rate={open_rate}0000000, "
r"open_since=.*\).",
caplog)
caplog.clear()
trade.open_order_id = 'something'
trade.update(exit_order)
assert trade.open_order_id is None
assert trade.close_rate == close_rate
assert trade.close_profit == profit
assert trade.close_date is not None
assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=226531, "
r"pair=ADA/USDT, amount=30.00000000, "
r"is_short=True, leverage=3.0, open_rate=2.20000000, open_since=.*\).",
assert log_has_re(f"LIMIT_{exit_side.upper()} has been fulfilled for "
r"Trade\(id=2, pair=ADA/USDT, amount=30.00000000, "
f"is_short={is_short}, leverage={lev}, open_rate={open_rate}0000000, "
r"open_since=.*\).",
caplog)
caplog.clear()
@ -616,9 +518,21 @@ def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee,
caplog)
@pytest.mark.parametrize('exchange,is_short,lev,open_value,close_value,profit,profit_ratio', [
("binance", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232),
("binance", True, 1, 59.850, 66.1663784375, -6.316378437500013, -0.1055368159983292),
("binance", False, 3, 60.15, 65.83416667, 5.684166670000003, 0.2834995845386534),
("binance", True, 3, 59.85, 66.1663784375, -6.316378437500013, -0.3166104479949876),
("kraken", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232),
("kraken", True, 1, 59.850, 66.231165, -6.381165, -0.106619298245614),
("kraken", False, 3, 60.15, 65.795, 5.645, 0.2815461346633419),
("kraken", True, 3, 59.850, 66.231165, -6.381165000000003, -0.319857894736842),
])
@pytest.mark.usefixtures("init_persistence")
def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee):
trade = Trade(
def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee, exchange,
is_short, lev, open_value, close_value, profit, profit_ratio):
trade: Trade = Trade(
pair='ADA/USDT',
stake_amount=60.0,
open_rate=2.0,
@ -627,55 +541,22 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
interest_rate=0.0005,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
exchange=exchange,
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")
@ -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:
@ -1007,198 +921,16 @@ 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
@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)
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")