persistence all to one test file, use more regular values like 2.0 for persistence tests
This commit is contained in:
Sam Germain
parent
a900570f1a
commit
6ad9b535a9
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@ -151,8 +151,6 @@ def migrate_orders_table(decl_base, inspector, engine, table_back_name: str, col
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decl_base.metadata.create_all(engine)
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leverage = get_column_def(cols, 'leverage', '1.0')
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# sqlite does not support literals for booleans
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is_short = get_column_def(cols, 'is_short', '0')
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# TODO-mg: Should liquidation price go in here?
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with engine.begin() as connection:
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connection.execute(text(f"""
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insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
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@ -236,7 +236,7 @@ class LocalTrade():
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close_rate_requested: Optional[float] = None
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close_profit: Optional[float] = None
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close_profit_abs: Optional[float] = None
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stake_amount: float = 0.0
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stake_amount: float = 0.0 # TODO: This should probably be computed
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amount: float = 0.0
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amount_requested: Optional[float] = None
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open_date: datetime
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@ -273,7 +273,7 @@ class LocalTrade():
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@property
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def has_no_leverage(self) -> bool:
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"""Returns true if this is a non-leverage, non-short trade"""
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return (self.leverage == 1.0 and not self.is_short) or self.leverage is None
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return ((self.leverage or self.leverage is None) == 1.0 and not self.is_short)
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@property
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def borrowed(self) -> float:
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@ -285,7 +285,7 @@ class LocalTrade():
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if self.has_no_leverage:
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return 0.0
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elif not self.is_short:
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return self.stake_amount * (self.leverage-1)
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return (self.amount * self.open_rate) * ((self.leverage-1)/self.leverage)
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else:
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return self.amount
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@ -351,6 +351,10 @@ class LocalTrade():
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self.liquidation_price = liquidation_price
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def set_is_short(self, is_short: bool):
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self.is_short = is_short
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self.recalc_open_trade_value()
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def __repr__(self):
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open_since = self.open_date.strftime(DATETIME_PRINT_FORMAT) if self.is_open else 'closed'
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@ -635,7 +639,8 @@ class LocalTrade():
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def recalc_open_trade_value(self) -> None:
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"""
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Recalculate open_trade_value.
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Must be called whenever open_rate or fee_open is changed.
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Must be called whenever open_rate, fee_open or is_short is changed.
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"""
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self.open_trade_value = self._calc_open_trade_value()
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@ -205,16 +205,22 @@ def create_mock_trades(fee, use_db: bool = True):
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# Simulate dry_run entries
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trade = mock_trade_1(fee)
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add_trade(trade)
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trade = mock_trade_2(fee)
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add_trade(trade)
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trade = mock_trade_3(fee)
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add_trade(trade)
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trade = mock_trade_4(fee)
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add_trade(trade)
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trade = mock_trade_5(fee)
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add_trade(trade)
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trade = mock_trade_6(fee)
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add_trade(trade)
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if use_db:
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Trade.query.session.flush()
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@ -231,6 +237,7 @@ def create_mock_trades_with_leverage(fee, use_db: bool = True):
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# Simulate dry_run entries
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trade = mock_trade_1(fee)
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add_trade(trade)
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trade = mock_trade_2(fee)
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add_trade(trade)
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@ -248,6 +255,7 @@ def create_mock_trades_with_leverage(fee, use_db: bool = True):
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trade = short_trade(fee)
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add_trade(trade)
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trade = leverage_trade(fee)
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add_trade(trade)
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if use_db:
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@ -2111,105 +2119,12 @@ def saved_hyperopt_results():
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for res in hyperopt_res:
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res['results_metrics']['holding_avg_s'] = res['results_metrics']['holding_avg'
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].total_seconds()
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return hyperopt_res
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# * Margin Tests
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@pytest.fixture(scope='function')
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def limit_short_order_open():
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return {
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'id': 'mocked_limit_short',
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'type': 'limit',
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'side': 'sell',
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'symbol': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'timestamp': arrow.utcnow().int_timestamp,
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'price': 0.00001173,
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'amount': 90.99181073,
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'leverage': 1.0,
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'filled': 0.0,
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'cost': 0.00106733393,
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'remaining': 90.99181073,
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'status': 'open',
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'is_short': True
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}
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@pytest.fixture
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def limit_exit_short_order_open():
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return {
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'id': 'mocked_limit_exit_short',
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'type': 'limit',
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'side': 'buy',
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'pair': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'timestamp': arrow.utcnow().int_timestamp,
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'price': 0.00001099,
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'amount': 90.99370639272354,
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'filled': 0.0,
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'remaining': 90.99370639272354,
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'status': 'open',
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'leverage': 1.0
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}
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@pytest.fixture(scope='function')
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def limit_short_order(limit_short_order_open):
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order = deepcopy(limit_short_order_open)
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order['status'] = 'closed'
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order['filled'] = order['amount']
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order['remaining'] = 0.0
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return order
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@pytest.fixture
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def limit_exit_short_order(limit_exit_short_order_open):
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order = deepcopy(limit_exit_short_order_open)
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order['remaining'] = 0.0
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order['filled'] = order['amount']
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order['status'] = 'closed'
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return order
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@pytest.fixture(scope='function')
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def market_short_order():
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return {
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'id': 'mocked_market_short',
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'type': 'market',
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'side': 'sell',
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'symbol': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'price': 0.00004173,
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'amount': 275.97543219,
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'filled': 275.97543219,
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'remaining': 0.0,
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'status': 'closed',
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'is_short': True,
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'leverage': 3.0,
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}
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@pytest.fixture
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def market_exit_short_order():
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return {
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'id': 'mocked_limit_exit_short',
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'type': 'market',
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'side': 'buy',
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'symbol': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'price': 0.00004099,
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'amount': 276.113419906095,
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'filled': 276.113419906095,
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'remaining': 0.0,
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'status': 'closed',
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'leverage': 3.0
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}
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# leverage 3x
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@pytest.fixture(scope='function')
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def limit_lev_buy_order_open():
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def limit_buy_order_usdt_open():
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return {
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'id': 'mocked_limit_buy',
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'type': 'limit',
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@ -2217,20 +2132,18 @@ def limit_lev_buy_order_open():
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'symbol': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'timestamp': arrow.utcnow().int_timestamp,
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'price': 0.00001099,
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'amount': 272.97543219,
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'price': 2.00,
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'amount': 30.0,
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'filled': 0.0,
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'cost': 0.0009999999999226999,
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'remaining': 272.97543219,
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'leverage': 3.0,
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'status': 'open',
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'exchange': 'binance',
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'cost': 60.0,
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'remaining': 30.0,
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'status': 'open'
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}
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@pytest.fixture(scope='function')
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def limit_lev_buy_order(limit_lev_buy_order_open):
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order = deepcopy(limit_lev_buy_order_open)
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def limit_buy_order_usdt(limit_buy_order_usdt_open):
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order = deepcopy(limit_buy_order_usdt_open)
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order['status'] = 'closed'
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order['filled'] = order['amount']
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order['remaining'] = 0.0
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@ -2238,7 +2151,7 @@ def limit_lev_buy_order(limit_lev_buy_order_open):
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@pytest.fixture
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def limit_lev_sell_order_open():
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def limit_sell_order_usdt_open():
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return {
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'id': 'mocked_limit_sell',
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'type': 'limit',
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@ -2246,19 +2159,17 @@ def limit_lev_sell_order_open():
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'pair': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'timestamp': arrow.utcnow().int_timestamp,
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'price': 0.00001173,
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'amount': 272.97543219,
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'price': 2.20,
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'amount': 30.0,
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'filled': 0.0,
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'remaining': 272.97543219,
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'leverage': 3.0,
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'status': 'open',
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'exchange': 'binance'
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'remaining': 30.0,
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'status': 'open'
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}
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@pytest.fixture
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def limit_lev_sell_order(limit_lev_sell_order_open):
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order = deepcopy(limit_lev_sell_order_open)
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def limit_sell_order_usdt(limit_sell_order_usdt_open):
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order = deepcopy(limit_sell_order_usdt_open)
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order['remaining'] = 0.0
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order['filled'] = order['amount']
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order['status'] = 'closed'
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@ -2266,36 +2177,32 @@ def limit_lev_sell_order(limit_lev_sell_order_open):
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@pytest.fixture(scope='function')
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def market_lev_buy_order():
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def market_buy_order_usdt():
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return {
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'id': 'mocked_market_buy',
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'type': 'market',
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'side': 'buy',
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'symbol': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'price': 0.00004099,
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'amount': 275.97543219,
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'filled': 275.97543219,
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'price': 2.00,
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'amount': 30.0,
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'filled': 30.0,
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'remaining': 0.0,
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'status': 'closed',
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'exchange': 'kraken',
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'leverage': 3.0
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'status': 'closed'
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}
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@pytest.fixture
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def market_lev_sell_order():
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def market_sell_order_usdt():
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return {
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'id': 'mocked_limit_sell',
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'type': 'market',
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'side': 'sell',
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'symbol': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'price': 0.00004173,
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'amount': 275.97543219,
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'filled': 275.97543219,
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'price': 2.20,
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'amount': 30.0,
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'filled': 30.0,
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'remaining': 0.0,
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'status': 'closed',
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'leverage': 3.0,
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'exchange': 'kraken'
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'status': 'closed'
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}
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@ -1,5 +1,6 @@
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from datetime import datetime, timedelta, timezone
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from freqtrade.enums import InterestMode
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from freqtrade.persistence.models import Order, Trade
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@ -382,8 +383,8 @@ def short_trade(fee):
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sell_reason='sell_signal', # TODO-mg: Update to exit/close reason
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open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
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# close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
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# borrowed=
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is_short=True
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is_short=True,
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interest_mode=InterestMode.HOURSPERDAY
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)
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o = Order.parse_from_ccxt_object(short_order(), 'ETC/BTC', 'sell')
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trade.orders.append(o)
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@ -466,13 +467,14 @@ def leverage_trade(fee):
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close_profit_abs=2.5983135000000175,
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exchange='kraken',
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is_open=False,
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open_order_id='dry_run_leverage_sell_12345',
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open_order_id='dry_run_leverage_buy_12368',
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strategy='DefaultStrategy',
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timeframe=5,
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sell_reason='sell_signal', # TODO-mg: Update to exit/close reason
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open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=300),
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close_date=datetime.now(tz=timezone.utc),
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interest_rate=0.0005
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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o = Order.parse_from_ccxt_object(leverage_order(), 'DOGE/BTC', 'sell')
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trade.orders.append(o)
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@ -1,638 +0,0 @@
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from datetime import datetime, timedelta
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from math import isclose
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import pytest
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from freqtrade.enums import InterestMode
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from freqtrade.persistence import Trade
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from tests.conftest import log_has_re
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@pytest.mark.usefixtures("init_persistence")
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def test_interest_kraken_lev(market_lev_buy_order, fee):
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"""
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Market trade on Kraken at 3x and 5x leverage
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Short trade
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interest_rate: 0.05%, 0.25% per 4 hrs
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open_rate: 0.00004099 base
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close_rate: 0.00004173 base
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stake_amount: 0.0037707443218227
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borrowed: 0.0075414886436454
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amount:
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275.97543219 crypto
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459.95905365 crypto
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borrowed:
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0.0075414886436454 base
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0.0150829772872908 base
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time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
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5 hours = 5/4
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interest: borrowed * interest_rate * ceil(1 + time-periods)
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= 0.0075414886436454 * 0.0005 * ceil(2) = 7.5414886436454e-06 base
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= 0.0075414886436454 * 0.00025 * ceil(9/4) = 5.65611648273405e-06 base
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= 0.0150829772872908 * 0.0005 * ceil(9/4) = 2.26244659309362e-05 base
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= 0.0150829772872908 * 0.00025 * ceil(2) = 7.5414886436454e-06 base
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"""
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.0037707443218227,
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amount=275.97543219,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='kraken',
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leverage=3.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert float(trade.calculate_interest()) == 7.5414886436454e-06
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trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
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assert float(round(trade.calculate_interest(interest_rate=0.00025), 11)
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) == round(5.65611648273405e-06, 11)
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.0037707443218227,
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amount=459.95905365,
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open_rate=0.00001099,
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open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='kraken',
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leverage=5.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPER4
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)
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assert float(round(trade.calculate_interest(), 11)
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) == round(2.26244659309362e-05, 11)
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trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
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trade.interest_rate = 0.00025
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assert float(trade.calculate_interest(interest_rate=0.00025)) == 7.5414886436454e-06
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@pytest.mark.usefixtures("init_persistence")
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def test_interest_binance_lev(market_lev_buy_order, fee):
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"""
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Market trade on Kraken at 3x and 5x leverage
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Short trade
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interest_rate: 0.05%, 0.25% per 4 hrs
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open_rate: 0.00001099 base
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close_rate: 0.00001173 base
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stake_amount: 0.0009999999999226999
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borrowed: 0.0019999999998453998
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amount:
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90.99181073 * leverage(3) = 272.97543219 crypto
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90.99181073 * leverage(5) = 454.95905365 crypto
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borrowed:
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0.0019999999998453998 base
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0.0039999999996907995 base
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time-periods: 10 minutes(rounds up to 1/24 time-period of 24hrs)
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5 hours = 5/24
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|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 0.0019999999998453998 * 0.00050 * 1/24 = 4.166666666344583e-08 base
|
||||
= 0.0019999999998453998 * 0.00025 * 5/24 = 1.0416666665861459e-07 base
|
||||
= 0.0039999999996907995 * 0.00050 * 5/24 = 4.1666666663445834e-07 base
|
||||
= 0.0039999999996907995 * 0.00025 * 1/24 = 4.166666666344583e-08 base
|
||||
"""
|
||||
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0009999999999226999,
|
||||
amount=272.97543219,
|
||||
open_rate=0.00001099,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
leverage=3.0,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
# 10 minutes round up to 4 hours evenly on kraken so we can predict the them more accurately
|
||||
assert round(float(trade.calculate_interest()), 22) == round(4.166666666344583e-08, 22)
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
|
||||
# All trade > 5 hours will vary slightly due to execution time and interest calculated
|
||||
assert float(round(trade.calculate_interest(interest_rate=0.00025), 14)
|
||||
) == round(1.0416666665861459e-07, 14)
|
||||
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0009999999999226999,
|
||||
amount=459.95905365,
|
||||
open_rate=0.00001099,
|
||||
open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
leverage=5.0,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
|
||||
assert float(round(trade.calculate_interest(), 14)) == round(4.1666666663445834e-07, 14)
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
|
||||
assert float(round(trade.calculate_interest(interest_rate=0.00025), 22)
|
||||
) == round(4.166666666344583e-08, 22)
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_update_open_order_lev(limit_lev_buy_order):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=1.00,
|
||||
open_rate=0.01,
|
||||
amount=5,
|
||||
fee_open=0.1,
|
||||
fee_close=0.1,
|
||||
interest_rate=0.0005,
|
||||
exchange='binance',
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
assert trade.open_order_id is None
|
||||
assert trade.close_profit is None
|
||||
assert trade.close_date is None
|
||||
limit_lev_buy_order['status'] = 'open'
|
||||
trade.update(limit_lev_buy_order)
|
||||
assert trade.open_order_id is None
|
||||
assert trade.close_profit is None
|
||||
assert trade.close_date is None
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_open_trade_value_lev(market_lev_buy_order, fee):
|
||||
"""
|
||||
10 minute leveraged market trade on Kraken at 3x leverage
|
||||
Short trade
|
||||
fee: 0.25% base
|
||||
interest_rate: 0.05% per 4 hrs
|
||||
open_rate: 0.00004099 base
|
||||
close_rate: 0.00004173 base
|
||||
amount: 91.99181073 * leverage(3) = 275.97543219 crypto
|
||||
stake_amount: 0.0037707443218227
|
||||
borrowed: 0.0075414886436454 base
|
||||
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 0.0075414886436454 * 0.0005 * 1 = 7.5414886436454e-06 crypto
|
||||
open_value: (amount * open_rate) + (amount * open_rate * fee)
|
||||
= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
|
||||
= 0.01134051354788177
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=5,
|
||||
open_rate=0.00004099,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
interest_rate=0.0005,
|
||||
exchange='kraken',
|
||||
leverage=3,
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
trade.open_order_id = 'open_trade'
|
||||
trade.update(market_lev_buy_order) # Buy @ 0.00001099
|
||||
# Get the open rate price with the standard fee rate
|
||||
assert trade._calc_open_trade_value() == 0.01134051354788177
|
||||
trade.fee_open = 0.003
|
||||
# Get the open rate price with a custom fee rate
|
||||
assert trade._calc_open_trade_value() == 0.011346169664364504
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_open_close_trade_price_lev(limit_lev_buy_order, limit_lev_sell_order, fee):
|
||||
"""
|
||||
5 hour leveraged trade on Binance
|
||||
|
||||
fee: 0.25% base
|
||||
interest_rate: 0.05% per day
|
||||
open_rate: 0.00001099 base
|
||||
close_rate: 0.00001173 base
|
||||
amount: 272.97543219 crypto
|
||||
stake_amount: 0.0009999999999226999 base
|
||||
borrowed: 0.0019999999998453998 base
|
||||
time-periods: 5 hours(rounds up to 5/24 time-period of 1 day)
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 0.0019999999998453998 * 0.0005 * 5/24 = 2.0833333331722917e-07 base
|
||||
open_value: (amount * open_rate) + (amount * open_rate * fee)
|
||||
= (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025)
|
||||
= 0.0030074999997675204
|
||||
close_value: ((amount_closed * close_rate) - (amount_closed * close_rate * fee)) - interest
|
||||
= (272.97543219 * 0.00001173)
|
||||
- (272.97543219 * 0.00001173 * 0.0025)
|
||||
- 2.0833333331722917e-07
|
||||
= 0.003193788481706411
|
||||
stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee)
|
||||
= (272.97543219/3 * 0.00001099) + (272.97543219/3 * 0.00001099 * 0.0025)
|
||||
= 0.0010024999999225066
|
||||
total_profit = close_value - open_value
|
||||
= 0.003193788481706411 - 0.0030074999997675204
|
||||
= 0.00018628848193889044
|
||||
total_profit_percentage = total_profit / stake_value
|
||||
= 0.00018628848193889054 / 0.0010024999999225066
|
||||
= 0.18582392214792087
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0009999999999226999,
|
||||
open_rate=0.01,
|
||||
amount=5,
|
||||
open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(limit_lev_buy_order)
|
||||
assert trade._calc_open_trade_value() == 0.00300749999976752
|
||||
trade.update(limit_lev_sell_order)
|
||||
|
||||
# Is slightly different due to compilation time changes. Interest depends on time
|
||||
assert round(trade.calc_close_trade_value(), 11) == round(0.003193788481706411, 11)
|
||||
# Profit in BTC
|
||||
assert round(trade.calc_profit(), 8) == round(0.00018628848193889054, 8)
|
||||
# Profit in percent
|
||||
assert round(trade.calc_profit_ratio(), 8) == round(0.18582392214792087, 8)
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_trade_close_lev(fee):
|
||||
"""
|
||||
5 hour leveraged market trade on Kraken at 3x leverage
|
||||
fee: 0.25% base
|
||||
interest_rate: 0.05% per 4 hrs
|
||||
open_rate: 0.1 base
|
||||
close_rate: 0.2 base
|
||||
amount: 5 * leverage(3) = 15 crypto
|
||||
stake_amount: 0.5
|
||||
borrowed: 1 base
|
||||
time-periods: 5/4 periods of 4hrs
|
||||
interest: borrowed * interest_rate * ceil(1 + time-periods)
|
||||
= 1 * 0.0005 * ceil(9/4) = 0.0015 crypto
|
||||
open_value: (amount * open_rate) + (amount * open_rate * fee)
|
||||
= (15 * 0.1) + (15 * 0.1 * 0.0025)
|
||||
= 1.50375
|
||||
close_value: (amount * close_rate) + (amount * close_rate * fee) - interest
|
||||
= (15 * 0.2) - (15 * 0.2 * 0.0025) - 0.0015
|
||||
= 2.991
|
||||
total_profit = close_value - open_value
|
||||
= 2.991 - 1.50375
|
||||
= 1.4872500000000002
|
||||
total_profit_ratio = ((close_value/open_value) - 1) * leverage
|
||||
= ((2.991/1.50375) - 1) * 3
|
||||
= 2.96708229426434
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.5,
|
||||
open_rate=0.1,
|
||||
amount=15,
|
||||
is_open=True,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
|
||||
exchange='kraken',
|
||||
leverage=3.0,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
assert trade.close_profit is None
|
||||
assert trade.close_date is None
|
||||
assert trade.is_open is True
|
||||
trade.close(0.2)
|
||||
assert trade.is_open is False
|
||||
assert trade.close_profit == round(2.96708229426434, 8)
|
||||
assert trade.close_date is not None
|
||||
|
||||
# TODO-mg: Remove these comments probably
|
||||
# new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime,
|
||||
# assert trade.close_date != new_date
|
||||
# # Close should NOT update close_date if the trade has been closed already
|
||||
# assert trade.is_open is False
|
||||
# trade.close_date = new_date
|
||||
# trade.close(0.02)
|
||||
# assert trade.close_date == new_date
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_close_trade_price_lev(market_lev_buy_order, market_lev_sell_order, fee):
|
||||
"""
|
||||
10 minute leveraged market trade on Kraken at 3x leverage
|
||||
Short trade
|
||||
fee: 0.25% base
|
||||
interest_rate: 0.05% per 4 hrs
|
||||
open_rate: 0.00004099 base
|
||||
close_rate: 0.00004173 base
|
||||
amount: 91.99181073 * leverage(3) = 275.97543219 crypto
|
||||
stake_amount: 0.0037707443218227
|
||||
borrowed: 0.0075414886436454 base
|
||||
time-periods: 10 minutes = 2
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 0.0075414886436454 * 0.0005 * 2 = 7.5414886436454e-06 crypto
|
||||
open_value: (amount * open_rate) + (amount * open_rate * fee)
|
||||
= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
|
||||
= 0.01134051354788177
|
||||
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
|
||||
= (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.0025) - 7.5414886436454e-06
|
||||
= 0.0033894815024978933
|
||||
= (275.97543219 * 0.00001234) - (275.97543219 * 0.00001234 * 0.003) - 7.5414886436454e-06
|
||||
= 0.003387778734081281
|
||||
= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.005) - 7.5414886436454e-06
|
||||
= 0.011451331022718612
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0037707443218227,
|
||||
amount=5,
|
||||
open_rate=0.00004099,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
interest_rate=0.0005,
|
||||
leverage=3.0,
|
||||
exchange='kraken',
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
trade.open_order_id = 'close_trade'
|
||||
trade.update(market_lev_buy_order) # Buy @ 0.00001099
|
||||
# Get the close rate price with a custom close rate and a regular fee rate
|
||||
assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.0033894815024978933)
|
||||
# Get the close rate price with a custom close rate and a custom fee rate
|
||||
assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.003387778734081281)
|
||||
# Test when we apply a Sell order, and ask price with a custom fee rate
|
||||
trade.update(market_lev_sell_order)
|
||||
assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011451331022718612)
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_update_with_binance_lev(limit_lev_buy_order, limit_lev_sell_order, fee, caplog):
|
||||
"""
|
||||
10 minute leveraged limit trade on binance at 3x leverage
|
||||
|
||||
Leveraged trade
|
||||
fee: 0.25% base
|
||||
interest_rate: 0.05% per day
|
||||
open_rate: 0.00001099 base
|
||||
close_rate: 0.00001173 base
|
||||
amount: 272.97543219 crypto
|
||||
stake_amount: 0.0009999999999226999 base
|
||||
borrowed: 0.0019999999998453998 base
|
||||
time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 0.0019999999998453998 * 0.0005 * 1/24 = 4.166666666344583e-08 base
|
||||
open_value: (amount * open_rate) + (amount * open_rate * fee)
|
||||
= (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025)
|
||||
= 0.0030074999997675204
|
||||
stake_value = (amount/lev * open_rate) + (amount/lev * open_rate * fee)
|
||||
= (272.97543219 * 0.00001099) + (272.97543219 * 0.00001099 * 0.0025)
|
||||
= 0.0010024999999225066
|
||||
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee)
|
||||
= (272.97543219 * 0.00001173) - (272.97543219 * 0.00001173 * 0.0025)
|
||||
= 0.003193996815039728
|
||||
stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee)
|
||||
= (272.97543219/3 * 0.00001099) + (272.97543219/3 * 0.00001099 * 0.0025)
|
||||
= 0.0010024999999225066
|
||||
total_profit = close_value - open_value - interest
|
||||
= 0.003193996815039728 - 0.0030074999997675204 - 4.166666666344583e-08
|
||||
= 0.00018645514860554435
|
||||
total_profit_percentage = total_profit / stake_value
|
||||
= 0.00018645514860554435 / 0.0010024999999225066
|
||||
= 0.1859901731869899
|
||||
|
||||
"""
|
||||
trade = Trade(
|
||||
id=2,
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0009999999999226999,
|
||||
open_rate=0.01,
|
||||
amount=5,
|
||||
is_open=True,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
interest_rate=0.0005,
|
||||
exchange='binance',
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
# 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_lev_buy_order)
|
||||
# assert trade.open_order_id is None
|
||||
assert trade.open_rate == 0.00001099
|
||||
assert trade.close_profit is None
|
||||
assert trade.close_date is None
|
||||
assert trade.borrowed == 0.0019999999998453998
|
||||
assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
|
||||
r"pair=ETH/BTC, amount=272.97543219, open_rate=0.00001099, open_since=.*\).",
|
||||
caplog)
|
||||
caplog.clear()
|
||||
# trade.open_order_id = 'something'
|
||||
trade.update(limit_lev_sell_order)
|
||||
# assert trade.open_order_id is None
|
||||
assert trade.close_rate == 0.00001173
|
||||
assert trade.close_profit == round(0.1859901731869899, 8)
|
||||
assert trade.close_date is not None
|
||||
assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
|
||||
r"pair=ETH/BTC, amount=272.97543219, open_rate=0.00001099, open_since=.*\).",
|
||||
caplog)
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_update_market_order_lev(market_lev_buy_order, market_lev_sell_order, fee, caplog):
|
||||
"""
|
||||
10 minute leveraged market trade on Kraken at 3x leverage
|
||||
Short trade
|
||||
fee: 0.25% base
|
||||
interest_rate: 0.05% per 4 hrs
|
||||
open_rate: 0.00004099 base
|
||||
close_rate: 0.00004173 base
|
||||
amount: = 275.97543219 crypto
|
||||
stake_amount: 0.0037707443218227
|
||||
borrowed: 0.0075414886436454 base
|
||||
interest: borrowed * interest_rate * 1+ceil(hours)
|
||||
= 0.0075414886436454 * 0.0005 * (1+ceil(1)) = 7.5414886436454e-06 crypto
|
||||
open_value: (amount * open_rate) + (amount * open_rate * fee)
|
||||
= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
|
||||
= 0.01134051354788177
|
||||
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
|
||||
= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025) - 7.5414886436454e-06
|
||||
= 0.011480122159681833
|
||||
stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee)
|
||||
= (275.97543219/3 * 0.00004099) + (275.97543219/3 * 0.00004099 * 0.0025)
|
||||
= 0.0037801711826272568
|
||||
total_profit = close_value - open_value
|
||||
= 0.011480122159681833 - 0.01134051354788177
|
||||
= 0.00013960861180006392
|
||||
total_profit_percentage = ((close_value/open_value) - 1) * leverage
|
||||
= ((0.011480122159681833 / 0.01134051354788177)-1) * 3
|
||||
= 0.036931822675563275
|
||||
"""
|
||||
trade = Trade(
|
||||
id=1,
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0037707443218227,
|
||||
amount=5,
|
||||
open_rate=0.00004099,
|
||||
is_open=True,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
interest_rate=0.0005,
|
||||
exchange='kraken',
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(market_lev_buy_order)
|
||||
assert trade.leverage == 3.0
|
||||
assert trade.open_order_id is None
|
||||
assert trade.open_rate == 0.00004099
|
||||
assert trade.close_profit is None
|
||||
assert trade.close_date is None
|
||||
assert trade.interest_rate == 0.0005
|
||||
# TODO: Uncomment the next assert and make it work.
|
||||
# The logger also has the exact same but there's some spacing in there
|
||||
assert log_has_re(r"MARKET_BUY has been fulfilled for Trade\(id=1, "
|
||||
r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).",
|
||||
caplog)
|
||||
caplog.clear()
|
||||
trade.is_open = True
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(market_lev_sell_order)
|
||||
assert trade.open_order_id is None
|
||||
assert trade.close_rate == 0.00004173
|
||||
assert trade.close_profit == round(0.036931822675563275, 8)
|
||||
assert trade.close_date is not None
|
||||
# TODO: The amount should maybe be the opening amount + the interest
|
||||
# TODO: Uncomment the next assert and make it work.
|
||||
# The logger also has the exact same but there's some spacing in there
|
||||
assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
|
||||
r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004099, open_since=.*\).",
|
||||
caplog)
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_close_trade_price_exception_lev(limit_lev_buy_order, fee):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
open_rate=0.1,
|
||||
amount=5,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
interest_rate=0.0005,
|
||||
leverage=3.0,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(limit_lev_buy_order)
|
||||
assert trade.calc_close_trade_value() == 0.0
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_profit_lev(market_lev_buy_order, market_lev_sell_order, fee):
|
||||
"""
|
||||
Leveraged trade on Kraken at 3x leverage
|
||||
fee: 0.25% base or 0.3%
|
||||
interest_rate: 0.05%, 0.25% per 4 hrs
|
||||
open_rate: 0.00004099 base
|
||||
close_rate: 0.00004173 base
|
||||
stake_amount: 0.0037707443218227
|
||||
amount: 91.99181073 * leverage(3) = 275.97543219 crypto
|
||||
borrowed: 0.0075414886436454 base
|
||||
hours: 1/6, 5 hours
|
||||
|
||||
interest: borrowed * interest_rate * ceil(1+hours/4)
|
||||
= 0.0075414886436454 * 0.0005 * ceil(1+((1/6)/4)) = 7.5414886436454e-06 crypto
|
||||
= 0.0075414886436454 * 0.00025 * ceil(1+(5/4)) = 5.65611648273405e-06 crypto
|
||||
= 0.0075414886436454 * 0.0005 * ceil(1+(5/4)) = 1.13122329654681e-05 crypto
|
||||
= 0.0075414886436454 * 0.00025 * ceil(1+((1/6)/4)) = 3.7707443218227e-06 crypto
|
||||
open_value: (amount * open_rate) + (amount * open_rate * fee)
|
||||
= (275.97543219 * 0.00004099) + (275.97543219 * 0.00004099 * 0.0025)
|
||||
= 0.01134051354788177
|
||||
close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
|
||||
(275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.0025) - 7.5414886436454e-06
|
||||
= 0.014786300937932227
|
||||
(275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.0025) - 5.65611648273405e-06
|
||||
= 0.0011973414905908902
|
||||
(275.97543219 * 0.00005374) - (275.97543219 * 0.00005374 * 0.003) - 1.13122329654681e-05
|
||||
= 0.01477511473374746
|
||||
(275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.003) - 3.7707443218227e-06
|
||||
= 0.0011986238564324662
|
||||
stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee)
|
||||
= (275.97543219/3 * 0.00004099) + (275.97543219/3 * 0.00004099 * 0.0025)
|
||||
= 0.0037801711826272568
|
||||
total_profit = close_value - open_value
|
||||
= 0.014786300937932227 - 0.01134051354788177 = 0.0034457873900504577
|
||||
= 0.0011973414905908902 - 0.01134051354788177 = -0.01014317205729088
|
||||
= 0.01477511473374746 - 0.01134051354788177 = 0.00343460118586569
|
||||
= 0.0011986238564324662 - 0.01134051354788177 = -0.010141889691449303
|
||||
total_profit_percentage = ((close_value/open_value) - 1) * leverage
|
||||
((0.014786300937932227/0.01134051354788177) - 1) * 3 = 0.9115426851266561
|
||||
((0.0011973414905908902/0.01134051354788177) - 1) * 3 = -2.683257336045103
|
||||
((0.01477511473374746/0.01134051354788177) - 1) * 3 = 0.908583505860866
|
||||
((0.0011986238564324662/0.01134051354788177) - 1) * 3 = -2.6829181011851926
|
||||
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0037707443218227,
|
||||
amount=5,
|
||||
open_rate=0.00004099,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='kraken',
|
||||
leverage=3.0,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(market_lev_buy_order) # Buy @ 0.00001099
|
||||
# Custom closing rate and regular fee rate
|
||||
|
||||
# Higher than open rate
|
||||
assert trade.calc_profit(rate=0.00005374, interest_rate=0.0005) == round(
|
||||
0.0034457873900504577, 8)
|
||||
assert trade.calc_profit_ratio(
|
||||
rate=0.00005374, interest_rate=0.0005) == round(0.9115426851266561, 8)
|
||||
|
||||
# Lower than open rate
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
|
||||
assert trade.calc_profit(
|
||||
rate=0.00000437, interest_rate=0.00025) == round(-0.01014317205729088, 8)
|
||||
assert trade.calc_profit_ratio(
|
||||
rate=0.00000437, interest_rate=0.00025) == round(-2.683257336045103, 8)
|
||||
|
||||
# Custom closing rate and custom fee rate
|
||||
# Higher than open rate
|
||||
assert trade.calc_profit(rate=0.00005374, fee=0.003,
|
||||
interest_rate=0.0005) == round(0.00343460118586569, 8)
|
||||
assert trade.calc_profit_ratio(rate=0.00005374, fee=0.003,
|
||||
interest_rate=0.0005) == round(0.908583505860866, 8)
|
||||
|
||||
# Lower than open rate
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
|
||||
assert trade.calc_profit(rate=0.00000437, fee=0.003,
|
||||
interest_rate=0.00025) == round(-0.010141889691449303, 8)
|
||||
assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003,
|
||||
interest_rate=0.00025) == round(-2.6829181011851926, 8)
|
||||
|
||||
# Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
|
||||
trade.update(market_lev_sell_order)
|
||||
assert trade.calc_profit() == round(0.00013960861180006392, 8)
|
||||
assert trade.calc_profit_ratio() == round(0.036931822675563275, 8)
|
||||
|
||||
# Test with a custom fee rate on the close trade
|
||||
# assert trade.calc_profit(fee=0.003) == 0.00006163
|
||||
# assert trade.calc_profit_ratio(fee=0.003) == 0.06147824
|
||||
|
|
@ -1,780 +0,0 @@
|
|||
from datetime import datetime, timedelta
|
||||
from math import isclose
|
||||
|
||||
import arrow
|
||||
import pytest
|
||||
|
||||
from freqtrade.enums import InterestMode
|
||||
from freqtrade.persistence import Trade, init_db
|
||||
from tests.conftest import create_mock_trades_with_leverage, log_has_re
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_interest_kraken_short(market_short_order, fee):
|
||||
"""
|
||||
Market trade on Kraken at 3x and 8x leverage
|
||||
Short trade
|
||||
interest_rate: 0.05%, 0.25% per 4 hrs
|
||||
open_rate: 0.00004173 base
|
||||
close_rate: 0.00004099 base
|
||||
amount:
|
||||
275.97543219 crypto
|
||||
459.95905365 crypto
|
||||
borrowed:
|
||||
275.97543219 crypto
|
||||
459.95905365 crypto
|
||||
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
|
||||
5 hours = 5/4
|
||||
|
||||
interest: borrowed * interest_rate * ceil(1 + time-periods)
|
||||
= 275.97543219 * 0.0005 * ceil(1+1) = 0.27597543219 crypto
|
||||
= 275.97543219 * 0.00025 * ceil(9/4) = 0.20698157414249999 crypto
|
||||
= 459.95905365 * 0.0005 * ceil(9/4) = 0.689938580475 crypto
|
||||
= 459.95905365 * 0.00025 * ceil(1+1) = 0.229979526825 crypto
|
||||
"""
|
||||
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=275.97543219,
|
||||
open_rate=0.00001099,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='kraken',
|
||||
is_short=True,
|
||||
leverage=3.0,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
|
||||
assert float(round(trade.calculate_interest(), 8)) == round(0.27597543219, 8)
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
|
||||
assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)
|
||||
) == round(0.20698157414249999, 8)
|
||||
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=459.95905365,
|
||||
open_rate=0.00001099,
|
||||
open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='kraken',
|
||||
is_short=True,
|
||||
leverage=5.0,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
|
||||
assert float(round(trade.calculate_interest(), 8)) == round(0.689938580475, 8)
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
|
||||
assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)
|
||||
) == round(0.229979526825, 8)
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_interest_binance_short(market_short_order, fee):
|
||||
"""
|
||||
Market trade on Binance at 3x and 5x leverage
|
||||
Short trade
|
||||
interest_rate: 0.05%, 0.25% per 1 day
|
||||
open_rate: 0.00004173 base
|
||||
close_rate: 0.00004099 base
|
||||
amount:
|
||||
91.99181073 * leverage(3) = 275.97543219 crypto
|
||||
91.99181073 * leverage(5) = 459.95905365 crypto
|
||||
borrowed:
|
||||
275.97543219 crypto
|
||||
459.95905365 crypto
|
||||
time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
|
||||
5 hours = 5/24
|
||||
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 275.97543219 * 0.0005 * 1/24 = 0.005749488170625 crypto
|
||||
= 275.97543219 * 0.00025 * 5/24 = 0.0143737204265625 crypto
|
||||
= 459.95905365 * 0.0005 * 5/24 = 0.047912401421875 crypto
|
||||
= 459.95905365 * 0.00025 * 1/24 = 0.0047912401421875 crypto
|
||||
"""
|
||||
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=275.97543219,
|
||||
open_rate=0.00001099,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
is_short=True,
|
||||
leverage=3.0,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
|
||||
assert float(round(trade.calculate_interest(), 8)) == 0.00574949
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
|
||||
assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)) == 0.01437372
|
||||
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=459.95905365,
|
||||
open_rate=0.00001099,
|
||||
open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
is_short=True,
|
||||
leverage=5.0,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
|
||||
assert float(round(trade.calculate_interest(), 8)) == 0.04791240
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
|
||||
assert float(round(trade.calculate_interest(interest_rate=0.00025), 8)) == 0.00479124
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_open_trade_value_short(market_short_order, fee):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=5,
|
||||
open_rate=0.00004173,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
interest_rate=0.0005,
|
||||
is_short=True,
|
||||
leverage=3.0,
|
||||
exchange='kraken',
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
trade.open_order_id = 'open_trade'
|
||||
trade.update(market_short_order) # Buy @ 0.00001099
|
||||
# Get the open rate price with the standard fee rate
|
||||
assert trade._calc_open_trade_value() == 0.011487663648325479
|
||||
trade.fee_open = 0.003
|
||||
# Get the open rate price with a custom fee rate
|
||||
assert trade._calc_open_trade_value() == 0.011481905420932834
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_update_open_order_short(limit_short_order):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=1.00,
|
||||
open_rate=0.01,
|
||||
amount=5,
|
||||
leverage=3.0,
|
||||
fee_open=0.1,
|
||||
fee_close=0.1,
|
||||
interest_rate=0.0005,
|
||||
is_short=True,
|
||||
exchange='binance',
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
assert trade.open_order_id is None
|
||||
assert trade.close_profit is None
|
||||
assert trade.close_date is None
|
||||
limit_short_order['status'] = 'open'
|
||||
trade.update(limit_short_order)
|
||||
assert trade.open_order_id is None
|
||||
assert trade.close_profit is None
|
||||
assert trade.close_date is None
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_close_trade_price_exception_short(limit_short_order, fee):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
open_rate=0.1,
|
||||
amount=15.0,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
interest_rate=0.0005,
|
||||
leverage=3.0,
|
||||
is_short=True,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(limit_short_order)
|
||||
assert trade.calc_close_trade_value() == 0.0
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_close_trade_price_short(market_short_order, market_exit_short_order, fee):
|
||||
"""
|
||||
10 minute short market trade on Kraken at 3x leverage
|
||||
Short trade
|
||||
fee: 0.25% base
|
||||
interest_rate: 0.05% per 4 hrs
|
||||
open_rate: 0.00004173 base
|
||||
close_rate: 0.00001234 base
|
||||
amount: = 275.97543219 crypto
|
||||
borrowed: 275.97543219 crypto
|
||||
hours: 10 minutes = 1/6
|
||||
interest: borrowed * interest_rate * ceil(1 + hours/4)
|
||||
= 275.97543219 * 0.0005 * ceil(1 + ((1/6)/4)) = 0.27597543219 crypto
|
||||
amount_closed: amount + interest = 275.97543219 + 0.27597543219 = 276.25140762219
|
||||
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
||||
= (276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.005)
|
||||
= 0.011380162924425737
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=5,
|
||||
open_rate=0.00001099,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
interest_rate=0.0005,
|
||||
is_short=True,
|
||||
leverage=3.0,
|
||||
exchange='kraken',
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
trade.open_order_id = 'close_trade'
|
||||
trade.update(market_short_order) # Buy @ 0.00001099
|
||||
# Get the close rate price with a custom close rate and a regular fee rate
|
||||
assert isclose(trade.calc_close_trade_value(rate=0.00001234), 0.0034174647259)
|
||||
# Get the close rate price with a custom close rate and a custom fee rate
|
||||
assert isclose(trade.calc_close_trade_value(rate=0.00001234, fee=0.003), 0.0034191691971679986)
|
||||
# Test when we apply a Sell order, and ask price with a custom fee rate
|
||||
trade.update(market_exit_short_order)
|
||||
assert isclose(trade.calc_close_trade_value(fee=0.005), 0.011380162924425737)
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_open_close_trade_price_short(limit_short_order, limit_exit_short_order, fee):
|
||||
"""
|
||||
5 hour short trade on Binance
|
||||
Short trade
|
||||
fee: 0.25% base
|
||||
interest_rate: 0.05% per day
|
||||
open_rate: 0.00001173 base
|
||||
close_rate: 0.00001099 base
|
||||
amount: 90.99181073 crypto
|
||||
borrowed: 90.99181073 crypto
|
||||
stake_amount: 0.0010673339398629
|
||||
time-periods: 5 hours = 5/24
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 90.99181073 * 0.0005 * 5/24 = 0.009478313617708333 crypto
|
||||
open_value: (amount * open_rate) - (amount * open_rate * fee)
|
||||
= (90.99181073 * 0.00001173) - (90.99181073 * 0.00001173 * 0.0025)
|
||||
= 0.0010646656050132426
|
||||
amount_closed: amount + interest = 90.99181073 + 0.009478313617708333 = 91.0012890436177
|
||||
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
||||
= (91.0012890436177 * 0.00001099) + (91.0012890436177 * 0.00001099 * 0.0025)
|
||||
= 0.001002604427005832
|
||||
stake_value = (amount/lev * open_rate) - (amount/lev * open_rate * fee)
|
||||
= 0.0010646656050132426
|
||||
total_profit = open_value - close_value
|
||||
= 0.0010646656050132426 - 0.001002604427005832
|
||||
= 0.00006206117800741065
|
||||
total_profit_percentage = (close_value - open_value) / stake_value
|
||||
= (0.0010646656050132426 - 0.001002604427005832)/0.0010646656050132426
|
||||
= 0.05829170935473088
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0010673339398629,
|
||||
open_rate=0.01,
|
||||
amount=5,
|
||||
open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(limit_short_order)
|
||||
assert trade._calc_open_trade_value() == 0.0010646656050132426
|
||||
trade.update(limit_exit_short_order)
|
||||
|
||||
# Is slightly different due to compilation time. Interest depends on time
|
||||
assert round(trade.calc_close_trade_value(), 11) == round(0.001002604427005832, 11)
|
||||
# Profit in BTC
|
||||
assert round(trade.calc_profit(), 8) == round(0.00006206117800741065, 8)
|
||||
# Profit in percent
|
||||
assert round(trade.calc_profit_ratio(), 8) == round(0.05829170935473088, 8)
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_trade_close_short(fee):
|
||||
"""
|
||||
Five hour short trade on Kraken at 3x leverage
|
||||
Short trade
|
||||
Exchange: Kraken
|
||||
fee: 0.25% base
|
||||
interest_rate: 0.05% per 4 hours
|
||||
open_rate: 0.02 base
|
||||
close_rate: 0.01 base
|
||||
leverage: 3.0
|
||||
amount: 15 crypto
|
||||
borrowed: 15 crypto
|
||||
time-periods: 5 hours = 5/4
|
||||
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 15 * 0.0005 * ceil(1 + 5/4) = 0.0225 crypto
|
||||
open_value: (amount * open_rate) - (amount * open_rate * fee)
|
||||
= (15 * 0.02) - (15 * 0.02 * 0.0025)
|
||||
= 0.29925
|
||||
amount_closed: amount + interest = 15 + 0.009375 = 15.0225
|
||||
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
||||
= (15.0225 * 0.01) + (15.0225 * 0.01 * 0.0025)
|
||||
= 0.15060056250000003
|
||||
total_profit = open_value - close_value
|
||||
= 0.29925 - 0.15060056250000003
|
||||
= 0.14864943749999998
|
||||
total_profit_percentage = (1-(close_value/open_value)) * leverage
|
||||
= (1 - (0.15060056250000003/0.29925)) * 3
|
||||
= 1.4902199248120298
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.1,
|
||||
open_rate=0.02,
|
||||
amount=15,
|
||||
is_open=True,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_date=datetime.utcnow() - timedelta(hours=4, minutes=55),
|
||||
exchange='kraken',
|
||||
is_short=True,
|
||||
leverage=3.0,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
assert trade.close_profit is None
|
||||
assert trade.close_date is None
|
||||
assert trade.is_open is True
|
||||
trade.close(0.01)
|
||||
assert trade.is_open is False
|
||||
assert trade.close_profit == round(1.4902199248120298, 8)
|
||||
assert trade.close_date is not None
|
||||
|
||||
# TODO-mg: Remove these comments probably
|
||||
# new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime,
|
||||
# assert trade.close_date != new_date
|
||||
# # Close should NOT update close_date if the trade has been closed already
|
||||
# assert trade.is_open is False
|
||||
# trade.close_date = new_date
|
||||
# trade.close(0.02)
|
||||
# assert trade.close_date == new_date
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_update_with_binance_short(limit_short_order, limit_exit_short_order, fee, caplog):
|
||||
"""
|
||||
10 minute short limit trade on binance
|
||||
|
||||
Short trade
|
||||
fee: 0.25% base
|
||||
interest_rate: 0.05% per day
|
||||
open_rate: 0.00001173 base
|
||||
close_rate: 0.00001099 base
|
||||
amount: 90.99181073 crypto
|
||||
stake_amount: 0.0010673339398629 base
|
||||
borrowed: 90.99181073 crypto
|
||||
time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 90.99181073 * 0.0005 * 1/24 = 0.0018956627235416667 crypto
|
||||
open_value: (amount * open_rate) - (amount * open_rate * fee)
|
||||
= 90.99181073 * 0.00001173 - 90.99181073 * 0.00001173 * 0.0025
|
||||
= 0.0010646656050132426
|
||||
amount_closed: amount + interest = 90.99181073 + 0.0018956627235416667 = 90.99370639272354
|
||||
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
||||
= (90.99370639272354 * 0.00001099) + (90.99370639272354 * 0.00001099 * 0.0025)
|
||||
= 0.0010025208853391716
|
||||
total_profit = open_value - close_value
|
||||
= 0.0010646656050132426 - 0.0010025208853391716
|
||||
= 0.00006214471967407108
|
||||
total_profit_percentage = (1 - (close_value/open_value)) * leverage
|
||||
= (1 - (0.0010025208853391716/0.0010646656050132426)) * 1
|
||||
= 0.05837017687191848
|
||||
|
||||
"""
|
||||
trade = Trade(
|
||||
id=2,
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0010673339398629,
|
||||
open_rate=0.01,
|
||||
amount=5,
|
||||
is_open=True,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
# borrowed=90.99181073,
|
||||
interest_rate=0.0005,
|
||||
exchange='binance',
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
# assert trade.open_order_id is None
|
||||
assert trade.close_profit is None
|
||||
assert trade.close_date is None
|
||||
assert trade.borrowed == 0.0
|
||||
assert trade.is_short is None
|
||||
# trade.open_order_id = 'something'
|
||||
trade.update(limit_short_order)
|
||||
# assert trade.open_order_id is None
|
||||
assert trade.open_rate == 0.00001173
|
||||
assert trade.close_profit is None
|
||||
assert trade.close_date is None
|
||||
assert trade.borrowed == 90.99181073
|
||||
assert trade.is_short is True
|
||||
assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
|
||||
r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
|
||||
caplog)
|
||||
caplog.clear()
|
||||
# trade.open_order_id = 'something'
|
||||
trade.update(limit_exit_short_order)
|
||||
# assert trade.open_order_id is None
|
||||
assert trade.close_rate == 0.00001099
|
||||
assert trade.close_profit == round(0.05837017687191848, 8)
|
||||
assert trade.close_date is not None
|
||||
assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
|
||||
r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
|
||||
caplog)
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_update_market_order_short(
|
||||
market_short_order,
|
||||
market_exit_short_order,
|
||||
fee,
|
||||
caplog
|
||||
):
|
||||
"""
|
||||
10 minute short market trade on Kraken at 3x leverage
|
||||
Short trade
|
||||
fee: 0.25% base
|
||||
interest_rate: 0.05% per 4 hrs
|
||||
open_rate: 0.00004173 base
|
||||
close_rate: 0.00004099 base
|
||||
amount: = 275.97543219 crypto
|
||||
stake_amount: 0.0038388182617629
|
||||
borrowed: 275.97543219 crypto
|
||||
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 275.97543219 * 0.0005 * 2 = 0.27597543219 crypto
|
||||
open_value: (amount * open_rate) - (amount * open_rate * fee)
|
||||
= 275.97543219 * 0.00004173 - 275.97543219 * 0.00004173 * 0.0025
|
||||
= 0.011487663648325479
|
||||
amount_closed: amount + interest = 275.97543219 + 0.27597543219 = 276.25140762219
|
||||
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
||||
= (276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.0025)
|
||||
= 0.0034174647259
|
||||
total_profit = open_value - close_value
|
||||
= 0.011487663648325479 - 0.0034174647259
|
||||
= 0.00013580958689582596
|
||||
total_profit_percentage = total_profit / stake_amount
|
||||
= (1 - (close_value/open_value)) * leverage
|
||||
= (1 - (0.0034174647259/0.011487663648325479)) * 3
|
||||
= 0.03546663387440563
|
||||
"""
|
||||
trade = Trade(
|
||||
id=1,
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0038388182617629,
|
||||
amount=5,
|
||||
open_rate=0.01,
|
||||
is_open=True,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
interest_rate=0.0005,
|
||||
exchange='kraken',
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(market_short_order)
|
||||
assert trade.leverage == 3.0
|
||||
assert trade.is_short is True
|
||||
assert trade.open_order_id is None
|
||||
assert trade.open_rate == 0.00004173
|
||||
assert trade.close_profit is None
|
||||
assert trade.close_date is None
|
||||
assert trade.interest_rate == 0.0005
|
||||
# The logger also has the exact same but there's some spacing in there
|
||||
assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
|
||||
r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
|
||||
caplog)
|
||||
caplog.clear()
|
||||
trade.is_open = True
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(market_exit_short_order)
|
||||
assert trade.open_order_id is None
|
||||
assert trade.close_rate == 0.00004099
|
||||
assert trade.close_profit == round(0.03546663387440563, 8)
|
||||
assert trade.close_date is not None
|
||||
# TODO-mg: The amount should maybe be the opening amount + the interest
|
||||
# TODO-mg: Uncomment the next assert and make it work.
|
||||
# The logger also has the exact same but there's some spacing in there
|
||||
assert log_has_re(r"MARKET_BUY has been fulfilled for Trade\(id=1, "
|
||||
r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
|
||||
caplog)
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_profit_short(market_short_order, market_exit_short_order, fee):
|
||||
"""
|
||||
Market trade on Kraken at 3x leverage
|
||||
Short trade
|
||||
fee: 0.25% base or 0.3%
|
||||
interest_rate: 0.05%, 0.025% per 4 hrs
|
||||
open_rate: 0.00004173 base
|
||||
close_rate: 0.00004099 base
|
||||
stake_amount: 0.0038388182617629
|
||||
amount: = 275.97543219 crypto
|
||||
borrowed: 275.97543219 crypto
|
||||
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
|
||||
5 hours = 5/4
|
||||
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
= 275.97543219 * 0.0005 * ceil(1+1) = 0.27597543219 crypto
|
||||
= 275.97543219 * 0.00025 * ceil(1+5/4) = 0.20698157414249999 crypto
|
||||
= 275.97543219 * 0.0005 * ceil(1+5/4) = 0.41396314828499997 crypto
|
||||
= 275.97543219 * 0.00025 * ceil(1+1) = 0.27597543219 crypto
|
||||
= 275.97543219 * 0.00025 * ceil(1+1) = 0.27597543219 crypto
|
||||
open_value: (amount * open_rate) - (amount * open_rate * fee)
|
||||
= (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025)
|
||||
= 0.011487663648325479
|
||||
amount_closed: amount + interest
|
||||
= 275.97543219 + 0.27597543219 = 276.25140762219
|
||||
= 275.97543219 + 0.20698157414249999 = 276.1824137641425
|
||||
= 275.97543219 + 0.41396314828499997 = 276.389395338285
|
||||
= 275.97543219 + 0.27597543219 = 276.25140762219
|
||||
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
||||
(276.25140762219 * 0.00004374) + (276.25140762219 * 0.00004374 * 0.0025)
|
||||
= 0.012113444660818078
|
||||
(276.1824137641425 * 0.00000437) + (276.1824137641425 * 0.00000437 * 0.0025)
|
||||
= 0.0012099344410196758
|
||||
(276.389395338285 * 0.00004374) + (276.389395338285 * 0.00004374 * 0.003)
|
||||
= 0.012125539968552874
|
||||
(276.25140762219 * 0.00000437) + (276.25140762219 * 0.00000437 * 0.003)
|
||||
= 0.0012102354919246037
|
||||
(276.25140762219 * 0.00004099) + (276.25140762219 * 0.00004099 * 0.0025)
|
||||
= 0.011351854061429653
|
||||
total_profit = open_value - close_value
|
||||
= 0.011487663648325479 - 0.012113444660818078 = -0.0006257810124925996
|
||||
= 0.011487663648325479 - 0.0012099344410196758 = 0.010277729207305804
|
||||
= 0.011487663648325479 - 0.012125539968552874 = -0.0006378763202273957
|
||||
= 0.011487663648325479 - 0.0012102354919246037 = 0.010277428156400875
|
||||
= 0.011487663648325479 - 0.011351854061429653 = 0.00013580958689582596
|
||||
total_profit_percentage = (1-(close_value/open_value)) * leverage
|
||||
(1-(0.012113444660818078 /0.011487663648325479))*3 = -0.16342252828332549
|
||||
(1-(0.0012099344410196758/0.011487663648325479))*3 = 2.6840259748040123
|
||||
(1-(0.012125539968552874 /0.011487663648325479))*3 = -0.16658121435868578
|
||||
(1-(0.0012102354919246037/0.011487663648325479))*3 = 2.68394735544829
|
||||
(1-(0.011351854061429653/0.011487663648325479))*3 = 0.03546663387440563
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.0038388182617629,
|
||||
amount=5,
|
||||
open_rate=0.00001099,
|
||||
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='kraken',
|
||||
is_short=True,
|
||||
interest_rate=0.0005,
|
||||
interest_mode=InterestMode.HOURSPER4
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(market_short_order) # Buy @ 0.00001099
|
||||
# Custom closing rate and regular fee rate
|
||||
|
||||
# Higher than open rate
|
||||
assert trade.calc_profit(
|
||||
rate=0.00004374, interest_rate=0.0005) == round(-0.0006257810124925996, 8)
|
||||
assert trade.calc_profit_ratio(
|
||||
rate=0.00004374, interest_rate=0.0005) == round(-0.16342252828332549, 8)
|
||||
|
||||
# Lower than open rate
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=4, minutes=55)
|
||||
assert trade.calc_profit(rate=0.00000437, interest_rate=0.00025) == round(
|
||||
0.010277729207305804, 8)
|
||||
assert trade.calc_profit_ratio(
|
||||
rate=0.00000437, interest_rate=0.00025) == round(2.6840259748040123, 8)
|
||||
|
||||
# Custom closing rate and custom fee rate
|
||||
# Higher than open rate
|
||||
assert trade.calc_profit(rate=0.00004374, fee=0.003,
|
||||
interest_rate=0.0005) == round(-0.0006378763202273957, 8)
|
||||
assert trade.calc_profit_ratio(rate=0.00004374, fee=0.003,
|
||||
interest_rate=0.0005) == round(-0.16658121435868578, 8)
|
||||
|
||||
# Lower than open rate
|
||||
trade.open_date = datetime.utcnow() - timedelta(hours=0, minutes=10)
|
||||
assert trade.calc_profit(rate=0.00000437, fee=0.003,
|
||||
interest_rate=0.00025) == round(0.010277428156400875, 8)
|
||||
assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003,
|
||||
interest_rate=0.00025) == round(2.68394735544829, 8)
|
||||
|
||||
# Test when we apply a exit short order.
|
||||
trade.update(market_exit_short_order)
|
||||
assert trade.calc_profit(rate=0.00004099) == round(0.00013580958689582596, 8)
|
||||
assert trade.calc_profit_ratio() == round(0.03546663387440563, 8)
|
||||
|
||||
# Test with a custom fee rate on the close trade
|
||||
# assert trade.calc_profit(fee=0.003) == 0.00006163
|
||||
# assert trade.calc_profit_ratio(fee=0.003) == 0.06147824
|
||||
|
||||
|
||||
def test_adjust_stop_loss_short(fee):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=5,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
open_rate=1,
|
||||
max_rate=1,
|
||||
is_short=True,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
trade.adjust_stop_loss(trade.open_rate, 0.05, True)
|
||||
assert trade.stop_loss == 1.05
|
||||
assert trade.stop_loss_pct == 0.05
|
||||
assert trade.initial_stop_loss == 1.05
|
||||
assert trade.initial_stop_loss_pct == 0.05
|
||||
# Get percent of profit with a lower rate
|
||||
trade.adjust_stop_loss(1.04, 0.05)
|
||||
assert trade.stop_loss == 1.05
|
||||
assert trade.stop_loss_pct == 0.05
|
||||
assert trade.initial_stop_loss == 1.05
|
||||
assert trade.initial_stop_loss_pct == 0.05
|
||||
# Get percent of profit with a custom rate (Higher than open rate)
|
||||
trade.adjust_stop_loss(0.7, 0.1)
|
||||
# If the price goes down to 0.7, with a trailing stop of 0.1,
|
||||
# the new stoploss at 0.1 above 0.7 would be 0.7*0.1 higher
|
||||
assert round(trade.stop_loss, 8) == 0.77
|
||||
assert trade.stop_loss_pct == 0.1
|
||||
assert trade.initial_stop_loss == 1.05
|
||||
assert trade.initial_stop_loss_pct == 0.05
|
||||
# current rate lower again ... should not change
|
||||
trade.adjust_stop_loss(0.8, -0.1)
|
||||
assert round(trade.stop_loss, 8) == 0.77
|
||||
assert trade.initial_stop_loss == 1.05
|
||||
assert trade.initial_stop_loss_pct == 0.05
|
||||
# current rate higher... should raise stoploss
|
||||
trade.adjust_stop_loss(0.6, -0.1)
|
||||
assert round(trade.stop_loss, 8) == 0.66
|
||||
assert trade.initial_stop_loss == 1.05
|
||||
assert trade.initial_stop_loss_pct == 0.05
|
||||
# Initial is true but stop_loss set - so doesn't do anything
|
||||
trade.adjust_stop_loss(0.3, -0.1, True)
|
||||
assert round(trade.stop_loss, 8) == 0.66 # TODO-mg: What is this test?
|
||||
assert trade.initial_stop_loss == 1.05
|
||||
assert trade.initial_stop_loss_pct == 0.05
|
||||
assert trade.stop_loss_pct == 0.1
|
||||
trade.set_liquidation_price(0.63)
|
||||
trade.adjust_stop_loss(0.59, -0.1)
|
||||
assert trade.stop_loss == 0.63
|
||||
assert trade.liquidation_price == 0.63
|
||||
|
||||
# TODO-mg: Do a test with a trade that has a liquidation price
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.parametrize('use_db', [True, False])
|
||||
def test_get_open_short(fee, use_db):
|
||||
Trade.use_db = use_db
|
||||
Trade.reset_trades()
|
||||
create_mock_trades_with_leverage(fee, use_db)
|
||||
assert len(Trade.get_open_trades()) == 5
|
||||
Trade.use_db = True
|
||||
|
||||
|
||||
def test_stoploss_reinitialization_short(default_conf, fee):
|
||||
init_db(default_conf['db_url'])
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
fee_open=fee.return_value,
|
||||
open_date=arrow.utcnow().shift(hours=-2).datetime,
|
||||
amount=10,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
open_rate=1,
|
||||
max_rate=1,
|
||||
is_short=True,
|
||||
leverage=3.0,
|
||||
interest_mode=InterestMode.HOURSPERDAY
|
||||
)
|
||||
trade.adjust_stop_loss(trade.open_rate, -0.05, True)
|
||||
assert trade.stop_loss == 1.05
|
||||
assert trade.stop_loss_pct == 0.05
|
||||
assert trade.initial_stop_loss == 1.05
|
||||
assert trade.initial_stop_loss_pct == 0.05
|
||||
Trade.query.session.add(trade)
|
||||
# Lower stoploss
|
||||
Trade.stoploss_reinitialization(-0.06)
|
||||
trades = Trade.get_open_trades()
|
||||
assert len(trades) == 1
|
||||
trade_adj = trades[0]
|
||||
assert trade_adj.stop_loss == 1.06
|
||||
assert trade_adj.stop_loss_pct == 0.06
|
||||
assert trade_adj.initial_stop_loss == 1.06
|
||||
assert trade_adj.initial_stop_loss_pct == 0.06
|
||||
# Raise stoploss
|
||||
Trade.stoploss_reinitialization(-0.04)
|
||||
trades = Trade.get_open_trades()
|
||||
assert len(trades) == 1
|
||||
trade_adj = trades[0]
|
||||
assert trade_adj.stop_loss == 1.04
|
||||
assert trade_adj.stop_loss_pct == 0.04
|
||||
assert trade_adj.initial_stop_loss == 1.04
|
||||
assert trade_adj.initial_stop_loss_pct == 0.04
|
||||
# Trailing stoploss
|
||||
trade.adjust_stop_loss(0.98, -0.04)
|
||||
assert trade_adj.stop_loss == 1.0192
|
||||
assert trade_adj.initial_stop_loss == 1.04
|
||||
Trade.stoploss_reinitialization(-0.04)
|
||||
trades = Trade.get_open_trades()
|
||||
assert len(trades) == 1
|
||||
trade_adj = trades[0]
|
||||
# Stoploss should not change in this case.
|
||||
assert trade_adj.stop_loss == 1.0192
|
||||
assert trade_adj.stop_loss_pct == 0.04
|
||||
assert trade_adj.initial_stop_loss == 1.04
|
||||
assert trade_adj.initial_stop_loss_pct == 0.04
|
||||
# Stoploss can't go above liquidation price
|
||||
trade_adj.set_liquidation_price(1.0)
|
||||
trade.adjust_stop_loss(0.97, -0.04)
|
||||
assert trade_adj.stop_loss == 1.0
|
||||
assert trade_adj.stop_loss == 1.0
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
@ pytest.mark.parametrize('use_db', [True, False])
|
||||
def test_total_open_trades_stakes_short(fee, use_db):
|
||||
Trade.use_db = use_db
|
||||
Trade.reset_trades()
|
||||
res = Trade.total_open_trades_stakes()
|
||||
assert res == 0
|
||||
create_mock_trades_with_leverage(fee, use_db)
|
||||
res = Trade.total_open_trades_stakes()
|
||||
assert res == 15.133
|
||||
Trade.use_db = True
|
||||
|
||||
|
||||
@ pytest.mark.usefixtures("init_persistence")
|
||||
def test_get_best_pair_short(fee):
|
||||
res = Trade.get_best_pair()
|
||||
assert res is None
|
||||
create_mock_trades_with_leverage(fee)
|
||||
res = Trade.get_best_pair()
|
||||
assert len(res) == 2
|
||||
assert res[0] == 'DOGE/BTC'
|
||||
assert res[1] == 0.1713156134055116
|
||||
File diff suppressed because it is too large
Load Diff
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Reference in New Issue