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shorting test_calc_close_trade_price

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This commit is contained in:
Sam Germain 2021-06-28 01:10:51 -06:00
parent c5add66fda
commit 820944e5cd
1 changed files with 82 additions and 26 deletions
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108
tests/test_persistence_margin.py
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@ -299,6 +299,8 @@ def test_update_open_order(limit_short_order):
amount=5,
fee_open=0.1,
fee_close=0.1,
interest_rate=0.0005,
is_short=True,
exchange='binance',
)
assert trade.open_order_id is None
@ -312,14 +314,18 @@ def test_update_open_order(limit_short_order):
@pytest.mark.usefixtures("init_persistence")
def test_calc_open_trade_value(market_short_order, fee):
def test_calc_open_trade_value(market_short_order, ten_minutes_ago, fee):
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
open_rate=0.00004173,
open_date=ten_minutes_ago,
fee_open=fee.return_value,
fee_close=fee.return_value,
interest_rate=0.0005,
is_short=True,
leverage=3.0,
exchange='kraken',
)
trade.open_order_id = 'open_trade'
@ -331,30 +337,80 @@ def test_calc_open_trade_value(market_short_order, fee):
assert trade._calc_open_trade_value() == 0.011481905420932834
# @pytest.mark.usefixtures("init_persistence")
# def test_calc_close_trade_price(limit_buy_order, limit_sell_order, fee):
# 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,
# exchange='binance',
# )
# trade.open_order_id = 'close_trade'
# trade.update(limit_buy_order) # Buy @ 0.00001099
# # Get the close rate price with a custom close rate and a regular fee rate
# assert trade.calc_close_trade_value(rate=0.00001234) == 0.0011200318470471794
# # Get the close rate price with a custom close rate and a custom fee rate
# assert trade.calc_close_trade_value(rate=0.00001234, fee=0.003) == 0.0011194704275749754
# # Test when we apply a Sell order, and ask price with a custom fee rate
# trade.update(limit_sell_order)
# assert trade.calc_close_trade_value(fee=0.005) == 0.0010619972701635854
@pytest.mark.usefixtures("init_persistence")
def test_calc_close_trade_price(market_short_order, market_exit_short_order, ten_minutes_ago, 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: 91.99181073 * leverage(3) = 275.97543219 crypto
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 * 1 = 0.137987716095 crypto
amount_closed: amount + interest = 275.97543219 + 0.137987716095 = 276.113419906095
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
= (276.113419906095 * 0.00001234) + (276.113419906095 * 0.00001234 * 0.0025)
= 0.01134618380465571
"""
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=ten_minutes_ago,
interest_rate=0.0005,
is_short=True,
leverage=3.0,
exchange='kraken',
)
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), 0.003415757700645315)
# 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), 0.0034174613204461354)
# 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), 0.011374478527360586)
# @pytest.mark.usefixtures("init_persistence")
# def test_calc_profit(limit_buy_order, limit_sell_order, fee):
# def test_calc_profit(market_short_order, market_exit_short_order, 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: 5 * 3 = 15 crypto
# borrowed: 15 crypto
# time-periods: 5 hours = 5/4
# interest: borrowed * interest_rate * time-periods
# = 15 * 0.0005 * 5/4 = 0.009375 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 = 15.009375
# close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
# = (15.009375 * 0.01) + (15.009375 * 0.01 * 0.0025)
# = 0.150468984375
# total_profit = open_value - close_value
# = 0.29925 - 0.150468984375
# = 0.148781015625
# total_profit_percentage = (open_value/close_value) - 1
# = (0.29925/0.150468984375)-1
# = 0.9887819489377738
# """
# trade = Trade(
# pair='ETH/BTC',
# stake_amount=0.001,
@ -365,19 +421,19 @@ def test_calc_open_trade_value(market_short_order, fee):
# exchange='binance',
# )
# trade.open_order_id = 'something'
# trade.update(limit_buy_order) # Buy @ 0.00001099
# trade.update(market_short_order) # Buy @ 0.00001099
# # Custom closing rate and regular fee rate
# # Higher than open rate
# assert trade.calc_profit(rate=0.00001234) == 0.00011753
# assert trade.calc_profit(rate=0.00004374) == 0.00011753
# # Lower than open rate
# assert trade.calc_profit(rate=0.00000123) == -0.00089086
# assert trade.calc_profit(rate=0.00000437) == -0.00089086
# # Custom closing rate and custom fee rate
# # Higher than open rate
# assert trade.calc_profit(rate=0.00001234, fee=0.003) == 0.00011697
# # Lower than open rate
# assert trade.calc_profit(rate=0.00000123, fee=0.003) == -0.00089092
# # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
# trade.update(limit_sell_order)
# trade.update(market_exit_short_order)
# assert trade.calc_profit() == 0.00006217
# # Test with a custom fee rate on the close trade
# assert trade.calc_profit(fee=0.003) == 0.00006163