added none to LiqFormula
This commit is contained in:
Sam Germain
parent
52e6de27b6
commit
7ec5f43f18
@ -319,7 +319,7 @@ class LocalTrade():
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for key in kwargs:
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setattr(self, key, kwargs[key])
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if self.isolated_liq:
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self.set_isolated_liq(self.isolated_liq)
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self.set_isolated_liq(isolated_liq=self.isolated_liq)
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self.recalc_open_trade_value()
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def _set_stop_loss(self, stop_loss: float, percent: float):
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@ -351,6 +351,9 @@ class LocalTrade():
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Assures stop_loss is not passed the liquidation price
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"""
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if k['isolated_liq']:
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isolated_liq: float = k['isolated_liq']
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else:
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isolated_liq: float == self.liq_formula(trading_mode=self.trading_mode, **k)
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if self.stop_loss is not None:
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@ -689,12 +692,13 @@ class LocalTrade():
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return 0.0
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amount = Decimal(self.amount)
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trading_mode = self.trading_mode or TradingMode.SPOT
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if self.trading_mode == TradingMode.SPOT:
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if trading_mode == TradingMode.SPOT:
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return float(self._calc_base_close(amount, rate, fee))
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elif (self.trading_mode == TradingMode.CROSS_MARGIN or
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self.trading_mode == TradingMode.ISOLATED_MARGIN):
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elif (trading_mode == TradingMode.CROSS_MARGIN or
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trading_mode == TradingMode.ISOLATED_MARGIN):
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interest = self.calculate_interest(interest_rate)
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@ -705,8 +709,8 @@ class LocalTrade():
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# Currency already owned for longs, no need to purchase
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return float(self._calc_base_close(amount, rate, fee) - interest)
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elif (self.trading_mode == TradingMode.CROSS_FUTURES or
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self.trading_mode == TradingMode.ISOLATED_FUTURES):
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elif (trading_mode == TradingMode.CROSS_FUTURES or
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trading_mode == TradingMode.ISOLATED_FUTURES):
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# TODO-lev: implement
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raise OperationalException("Futures is not yet available using freqtrade")
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else:
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@ -924,7 +928,10 @@ class Trade(_DECL_BASE, LocalTrade):
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interest_rate = Column(Float, nullable=False, default=0.0)
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isolated_liq = Column(Float, nullable=True)
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is_short = Column(Boolean, nullable=False, default=False)
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trading_mode = Column(Enum(TradingMode), default=TradingMode.SPOT)
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interest_mode = Column(Enum(InterestMode), nullable=True)
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liq_formula = Column(Enum(LiqFormula), nullable=True)
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# End of margin trading properties
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def __init__(self, **kwargs):
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@ -11,7 +11,7 @@ import pytest
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from sqlalchemy import create_engine, inspect, text
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from freqtrade import constants
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from freqtrade.enums import InterestMode
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from freqtrade.enums import InterestMode, TradingMode
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db
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from tests.conftest import create_mock_trades, create_mock_trades_with_leverage, log_has, log_has_re
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@ -91,7 +91,7 @@ def test_enter_exit_side(fee):
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@pytest.mark.usefixtures("init_persistence")
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def test__set_stop_loss_isolated_liq(fee):
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def test_set_stop_loss_isolated_liq(fee):
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trade = Trade(
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id=2,
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pair='ADA/USDT',
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@ -106,7 +106,7 @@ def test__set_stop_loss_isolated_liq(fee):
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is_short=False,
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leverage=2.0
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)
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trade.set_isolated_liq(0.09)
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trade.set_isolated_liq(isolated_liq=0.09)
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assert trade.isolated_liq == 0.09
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assert trade.stop_loss == 0.09
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assert trade.initial_stop_loss == 0.09
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@ -116,12 +116,12 @@ def test__set_stop_loss_isolated_liq(fee):
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assert trade.stop_loss == 0.1
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assert trade.initial_stop_loss == 0.09
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trade.set_isolated_liq(0.08)
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trade.set_isolated_liq(isolated_liq=0.08)
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assert trade.isolated_liq == 0.08
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assert trade.stop_loss == 0.1
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assert trade.initial_stop_loss == 0.09
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trade.set_isolated_liq(0.11)
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trade.set_isolated_liq(isolated_liq=0.11)
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assert trade.isolated_liq == 0.11
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assert trade.stop_loss == 0.11
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assert trade.initial_stop_loss == 0.09
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@ -145,7 +145,7 @@ def test__set_stop_loss_isolated_liq(fee):
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trade.stop_loss = None
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trade.initial_stop_loss = None
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trade.set_isolated_liq(0.09)
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trade.set_isolated_liq(isolated_liq=0.09)
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assert trade.isolated_liq == 0.09
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assert trade.stop_loss == 0.09
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assert trade.initial_stop_loss == 0.09
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@ -155,12 +155,12 @@ def test__set_stop_loss_isolated_liq(fee):
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assert trade.stop_loss == 0.08
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assert trade.initial_stop_loss == 0.09
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trade.set_isolated_liq(0.1)
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trade.set_isolated_liq(isolated_liq=0.1)
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assert trade.isolated_liq == 0.1
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assert trade.stop_loss == 0.08
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assert trade.initial_stop_loss == 0.09
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trade.set_isolated_liq(0.07)
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trade.set_isolated_liq(isolated_liq=0.07)
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assert trade.isolated_liq == 0.07
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assert trade.stop_loss == 0.07
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assert trade.initial_stop_loss == 0.09
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@ -237,7 +237,8 @@ def test_interest(market_buy_order_usdt, fee):
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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.HOURSPERDAY
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interest_mode=InterestMode.HOURSPERDAY,
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trading_mode=TradingMode.CROSS_MARGIN
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)
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# 10min, 3x leverage
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@ -506,7 +507,7 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
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open_date=arrow.utcnow().datetime,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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exchange='binance',
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exchange='binance'
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)
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assert trade.open_order_id is None
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assert trade.close_profit is None
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@ -550,7 +551,8 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
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is_short=True,
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leverage=3.0,
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interest_rate=0.0005,
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interest_mode=InterestMode.HOURSPERDAY
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interest_mode=InterestMode.HOURSPERDAY,
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trading_mode=TradingMode.CROSS_MARGIN
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)
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trade.open_order_id = 'something'
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trade.update(limit_sell_order_usdt)
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@ -642,7 +644,9 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
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assert isclose(trade.calc_close_trade_value(), 65.835)
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assert trade.calc_profit() == 5.685
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assert trade.calc_profit_ratio() == round(0.0945137157107232, 8)
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# 3x leverage, binance
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trade.trading_mode = TradingMode.ISOLATED_MARGIN
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trade.leverage = 3
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trade.interest_mode = InterestMode.HOURSPERDAY
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assert trade._calc_open_trade_value() == 60.15
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@ -801,12 +805,19 @@ def test_calc_open_trade_value(limit_buy_order_usdt, fee):
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# Get the open rate price with the standard fee rate
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assert trade._calc_open_trade_value() == 60.15
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# Margin
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trade.trading_mode = TradingMode.CROSS_MARGIN
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trade.is_short = True
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trade.recalc_open_trade_value()
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assert trade._calc_open_trade_value() == 59.85
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# 3x short margin leverage
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trade.leverage = 3
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trade.interest_mode = InterestMode.HOURSPERDAY
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assert trade._calc_open_trade_value() == 59.85
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# 3x long margin leverage
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trade.is_short = False
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trade.recalc_open_trade_value()
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assert trade._calc_open_trade_value() == 60.15
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@ -844,6 +855,7 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
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assert trade.calc_close_trade_value(fee=0.005) == 65.67
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# 3x leverage binance
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trade.trading_mode = TradingMode.CROSS_MARGIN
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trade.leverage = 3.0
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assert round(trade.calc_close_trade_value(rate=2.5), 8) == 74.81166667
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assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 74.77416667
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@ -1044,6 +1056,8 @@ def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
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trade.open_trade_value = 0.0
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trade.open_trade_value = trade._calc_open_trade_value()
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# Margin
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trade.trading_mode = TradingMode.CROSS_MARGIN
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# 3x leverage, long ###################################################
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trade.leverage = 3.0
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# Higher than open rate - 2.1 quote
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@ -1147,6 +1161,8 @@ def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee):
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assert trade.calc_profit_ratio(fee=0.003) == 0.0
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trade.open_trade_value = trade._calc_open_trade_value()
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# Margin
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trade.trading_mode = TradingMode.CROSS_MARGIN
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# 3x leverage, long ###################################################
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trade.leverage = 3.0
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# 2.1 quote - Higher than open rate
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@ -1579,7 +1595,7 @@ def test_adjust_stop_loss_short(fee):
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assert trade.initial_stop_loss == 1.05
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assert trade.initial_stop_loss_pct == 0.05
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assert trade.stop_loss_pct == 0.1
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trade.set_isolated_liq(0.63)
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trade.set_isolated_liq(isolated_liq=0.63)
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trade.adjust_stop_loss(0.59, -0.1)
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assert trade.stop_loss == 0.63
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assert trade.isolated_liq == 0.63
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@ -1899,7 +1915,7 @@ def test_stoploss_reinitialization_short(default_conf, fee):
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assert trade_adj.initial_stop_loss == 1.04
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assert trade_adj.initial_stop_loss_pct == 0.04
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# Stoploss can't go above liquidation price
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trade_adj.set_isolated_liq(1.0)
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trade_adj.set_isolated_liq(isolated_liq=1.0)
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trade.adjust_stop_loss(0.97, -0.04)
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assert trade_adj.stop_loss == 1.0
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assert trade_adj.stop_loss == 1.0
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