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added none to LiqFormula

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Sam Germain 2021-08-01 21:08:52 -06:00
parent 52e6de27b6
commit 7ec5f43f18
2 changed files with 43 additions and 20 deletions
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21
freqtrade/persistence/models.py
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@ -319,7 +319,7 @@ class LocalTrade():
for key in kwargs: for key in kwargs:
setattr(self, key, kwargs[key]) setattr(self, key, kwargs[key])
if self.isolated_liq: if self.isolated_liq:
self.set_isolated_liq(self.isolated_liq) self.set_isolated_liq(isolated_liq=self.isolated_liq)
self.recalc_open_trade_value() self.recalc_open_trade_value()
def _set_stop_loss(self, stop_loss: float, percent: float): def _set_stop_loss(self, stop_loss: float, percent: float):
@ -351,7 +351,10 @@ class LocalTrade():
Assures stop_loss is not passed the liquidation price Assures stop_loss is not passed the liquidation price
""" """
isolated_liq: float == self.liq_formula(trading_mode=self.trading_mode, **k) if k['isolated_liq']:
isolated_liq: float = k['isolated_liq']
else:
isolated_liq: float == self.liq_formula(trading_mode=self.trading_mode, **k)
if self.stop_loss is not None: if self.stop_loss is not None:
if self.is_short: if self.is_short:
@ -689,12 +692,13 @@ class LocalTrade():
return 0.0 return 0.0
amount = Decimal(self.amount) amount = Decimal(self.amount)
trading_mode = self.trading_mode or TradingMode.SPOT
if self.trading_mode == TradingMode.SPOT: if trading_mode == TradingMode.SPOT:
return float(self._calc_base_close(amount, rate, fee)) return float(self._calc_base_close(amount, rate, fee))
elif (self.trading_mode == TradingMode.CROSS_MARGIN or elif (trading_mode == TradingMode.CROSS_MARGIN or
self.trading_mode == TradingMode.ISOLATED_MARGIN): trading_mode == TradingMode.ISOLATED_MARGIN):
interest = self.calculate_interest(interest_rate) interest = self.calculate_interest(interest_rate)
@ -705,8 +709,8 @@ class LocalTrade():
# Currency already owned for longs, no need to purchase # Currency already owned for longs, no need to purchase
return float(self._calc_base_close(amount, rate, fee) - interest) return float(self._calc_base_close(amount, rate, fee) - interest)
elif (self.trading_mode == TradingMode.CROSS_FUTURES or elif (trading_mode == TradingMode.CROSS_FUTURES or
self.trading_mode == TradingMode.ISOLATED_FUTURES): trading_mode == TradingMode.ISOLATED_FUTURES):
# TODO-lev: implement # TODO-lev: implement
raise OperationalException("Futures is not yet available using freqtrade") raise OperationalException("Futures is not yet available using freqtrade")
else: else:
@ -924,7 +928,10 @@ class Trade(_DECL_BASE, LocalTrade):
interest_rate = Column(Float, nullable=False, default=0.0) interest_rate = Column(Float, nullable=False, default=0.0)
isolated_liq = Column(Float, nullable=True) isolated_liq = Column(Float, nullable=True)
is_short = Column(Boolean, nullable=False, default=False) is_short = Column(Boolean, nullable=False, default=False)
trading_mode = Column(Enum(TradingMode), default=TradingMode.SPOT)
interest_mode = Column(Enum(InterestMode), nullable=True) interest_mode = Column(Enum(InterestMode), nullable=True)
liq_formula = Column(Enum(LiqFormula), nullable=True)
# End of margin trading properties # End of margin trading properties
def __init__(self, **kwargs): def __init__(self, **kwargs):

42
tests/test_persistence.py
View File

@ -11,7 +11,7 @@ import pytest
from sqlalchemy import create_engine, inspect, text from sqlalchemy import create_engine, inspect, text
from freqtrade import constants from freqtrade import constants
from freqtrade.enums import InterestMode from freqtrade.enums import InterestMode, TradingMode
from freqtrade.exceptions import DependencyException, OperationalException from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db
from tests.conftest import create_mock_trades, create_mock_trades_with_leverage, log_has, log_has_re from tests.conftest import create_mock_trades, create_mock_trades_with_leverage, log_has, log_has_re
@ -91,7 +91,7 @@ def test_enter_exit_side(fee):
@pytest.mark.usefixtures("init_persistence") @pytest.mark.usefixtures("init_persistence")
def test__set_stop_loss_isolated_liq(fee): def test_set_stop_loss_isolated_liq(fee):
trade = Trade( trade = Trade(
id=2, id=2,
pair='ADA/USDT', pair='ADA/USDT',
@ -106,7 +106,7 @@ def test__set_stop_loss_isolated_liq(fee):
is_short=False, is_short=False,
leverage=2.0 leverage=2.0
) )
trade.set_isolated_liq(0.09) trade.set_isolated_liq(isolated_liq=0.09)
assert trade.isolated_liq == 0.09 assert trade.isolated_liq == 0.09
assert trade.stop_loss == 0.09 assert trade.stop_loss == 0.09
assert trade.initial_stop_loss == 0.09 assert trade.initial_stop_loss == 0.09
@ -116,12 +116,12 @@ def test__set_stop_loss_isolated_liq(fee):
assert trade.stop_loss == 0.1 assert trade.stop_loss == 0.1
assert trade.initial_stop_loss == 0.09 assert trade.initial_stop_loss == 0.09
trade.set_isolated_liq(0.08) trade.set_isolated_liq(isolated_liq=0.08)
assert trade.isolated_liq == 0.08 assert trade.isolated_liq == 0.08
assert trade.stop_loss == 0.1 assert trade.stop_loss == 0.1
assert trade.initial_stop_loss == 0.09 assert trade.initial_stop_loss == 0.09
trade.set_isolated_liq(0.11) trade.set_isolated_liq(isolated_liq=0.11)
assert trade.isolated_liq == 0.11 assert trade.isolated_liq == 0.11
assert trade.stop_loss == 0.11 assert trade.stop_loss == 0.11
assert trade.initial_stop_loss == 0.09 assert trade.initial_stop_loss == 0.09
@ -145,7 +145,7 @@ def test__set_stop_loss_isolated_liq(fee):
trade.stop_loss = None trade.stop_loss = None
trade.initial_stop_loss = None trade.initial_stop_loss = None
trade.set_isolated_liq(0.09) trade.set_isolated_liq(isolated_liq=0.09)
assert trade.isolated_liq == 0.09 assert trade.isolated_liq == 0.09
assert trade.stop_loss == 0.09 assert trade.stop_loss == 0.09
assert trade.initial_stop_loss == 0.09 assert trade.initial_stop_loss == 0.09
@ -155,12 +155,12 @@ def test__set_stop_loss_isolated_liq(fee):
assert trade.stop_loss == 0.08 assert trade.stop_loss == 0.08
assert trade.initial_stop_loss == 0.09 assert trade.initial_stop_loss == 0.09
trade.set_isolated_liq(0.1) trade.set_isolated_liq(isolated_liq=0.1)
assert trade.isolated_liq == 0.1 assert trade.isolated_liq == 0.1
assert trade.stop_loss == 0.08 assert trade.stop_loss == 0.08
assert trade.initial_stop_loss == 0.09 assert trade.initial_stop_loss == 0.09
trade.set_isolated_liq(0.07) trade.set_isolated_liq(isolated_liq=0.07)
assert trade.isolated_liq == 0.07 assert trade.isolated_liq == 0.07
assert trade.stop_loss == 0.07 assert trade.stop_loss == 0.07
assert trade.initial_stop_loss == 0.09 assert trade.initial_stop_loss == 0.09
@ -237,7 +237,8 @@ def test_interest(market_buy_order_usdt, fee):
exchange='kraken', exchange='kraken',
leverage=3.0, leverage=3.0,
interest_rate=0.0005, interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY interest_mode=InterestMode.HOURSPERDAY,
trading_mode=TradingMode.CROSS_MARGIN
) )
# 10min, 3x leverage # 10min, 3x leverage
@ -506,7 +507,7 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
open_date=arrow.utcnow().datetime, open_date=arrow.utcnow().datetime,
fee_open=fee.return_value, fee_open=fee.return_value,
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='binance', exchange='binance'
) )
assert trade.open_order_id is None assert trade.open_order_id is None
assert trade.close_profit is None assert trade.close_profit is None
@ -550,7 +551,8 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
is_short=True, is_short=True,
leverage=3.0, leverage=3.0,
interest_rate=0.0005, interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY interest_mode=InterestMode.HOURSPERDAY,
trading_mode=TradingMode.CROSS_MARGIN
) )
trade.open_order_id = 'something' trade.open_order_id = 'something'
trade.update(limit_sell_order_usdt) trade.update(limit_sell_order_usdt)
@ -642,7 +644,9 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
assert isclose(trade.calc_close_trade_value(), 65.835) assert isclose(trade.calc_close_trade_value(), 65.835)
assert trade.calc_profit() == 5.685 assert trade.calc_profit() == 5.685
assert trade.calc_profit_ratio() == round(0.0945137157107232, 8) assert trade.calc_profit_ratio() == round(0.0945137157107232, 8)
# 3x leverage, binance # 3x leverage, binance
trade.trading_mode = TradingMode.ISOLATED_MARGIN
trade.leverage = 3 trade.leverage = 3
trade.interest_mode = InterestMode.HOURSPERDAY trade.interest_mode = InterestMode.HOURSPERDAY
assert trade._calc_open_trade_value() == 60.15 assert trade._calc_open_trade_value() == 60.15
@ -801,12 +805,19 @@ def test_calc_open_trade_value(limit_buy_order_usdt, fee):
# Get the open rate price with the standard fee rate # Get the open rate price with the standard fee rate
assert trade._calc_open_trade_value() == 60.15 assert trade._calc_open_trade_value() == 60.15
# Margin
trade.trading_mode = TradingMode.CROSS_MARGIN
trade.is_short = True trade.is_short = True
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
assert trade._calc_open_trade_value() == 59.85 assert trade._calc_open_trade_value() == 59.85
# 3x short margin leverage
trade.leverage = 3 trade.leverage = 3
trade.interest_mode = InterestMode.HOURSPERDAY trade.interest_mode = InterestMode.HOURSPERDAY
assert trade._calc_open_trade_value() == 59.85 assert trade._calc_open_trade_value() == 59.85
# 3x long margin leverage
trade.is_short = False trade.is_short = False
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
assert trade._calc_open_trade_value() == 60.15 assert trade._calc_open_trade_value() == 60.15
@ -844,6 +855,7 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
assert trade.calc_close_trade_value(fee=0.005) == 65.67 assert trade.calc_close_trade_value(fee=0.005) == 65.67
# 3x leverage binance # 3x leverage binance
trade.trading_mode = TradingMode.CROSS_MARGIN
trade.leverage = 3.0 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), 8) == 74.81166667
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 74.77416667 assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 74.77416667
@ -1044,6 +1056,8 @@ def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
trade.open_trade_value = 0.0 trade.open_trade_value = 0.0
trade.open_trade_value = trade._calc_open_trade_value() trade.open_trade_value = trade._calc_open_trade_value()
# Margin
trade.trading_mode = TradingMode.CROSS_MARGIN
# 3x leverage, long ################################################### # 3x leverage, long ###################################################
trade.leverage = 3.0 trade.leverage = 3.0
# Higher than open rate - 2.1 quote # Higher than open rate - 2.1 quote
@ -1147,6 +1161,8 @@ def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee):
assert trade.calc_profit_ratio(fee=0.003) == 0.0 assert trade.calc_profit_ratio(fee=0.003) == 0.0
trade.open_trade_value = trade._calc_open_trade_value() trade.open_trade_value = trade._calc_open_trade_value()
# Margin
trade.trading_mode = TradingMode.CROSS_MARGIN
# 3x leverage, long ################################################### # 3x leverage, long ###################################################
trade.leverage = 3.0 trade.leverage = 3.0
# 2.1 quote - Higher than open rate # 2.1 quote - Higher than open rate
@ -1579,7 +1595,7 @@ def test_adjust_stop_loss_short(fee):
assert trade.initial_stop_loss == 1.05 assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05 assert trade.initial_stop_loss_pct == 0.05
assert trade.stop_loss_pct == 0.1 assert trade.stop_loss_pct == 0.1
trade.set_isolated_liq(0.63) trade.set_isolated_liq(isolated_liq=0.63)
trade.adjust_stop_loss(0.59, -0.1) trade.adjust_stop_loss(0.59, -0.1)
assert trade.stop_loss == 0.63 assert trade.stop_loss == 0.63
assert trade.isolated_liq == 0.63 assert trade.isolated_liq == 0.63
@ -1899,7 +1915,7 @@ def test_stoploss_reinitialization_short(default_conf, fee):
assert trade_adj.initial_stop_loss == 1.04 assert trade_adj.initial_stop_loss == 1.04
assert trade_adj.initial_stop_loss_pct == 0.04 assert trade_adj.initial_stop_loss_pct == 0.04
# Stoploss can't go above liquidation price # Stoploss can't go above liquidation price
trade_adj.set_isolated_liq(1.0) trade_adj.set_isolated_liq(isolated_liq=1.0)
trade.adjust_stop_loss(0.97, -0.04) trade.adjust_stop_loss(0.97, -0.04)
assert trade_adj.stop_loss == 1.0 assert trade_adj.stop_loss == 1.0
assert trade_adj.stop_loss == 1.0 assert trade_adj.stop_loss == 1.0