From 8e52a3a29ce9b0b6fbf023ec013e1e48a49e4a33 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Thu, 8 Jul 2021 05:37:54 -0600 Subject: [PATCH] updated ratio_calc_profit function --- freqtrade/persistence/models.py | 32 ++++++--- .../persistence/test_persistence_leverage.py | 67 ++++++++++++------- 2 files changed, 62 insertions(+), 37 deletions(-) diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index 17318a615..a2ca7badb 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -609,12 +609,14 @@ class LocalTrade(): def update_order(self, order: Dict) -> None: Order.update_orders(self.orders, order) - def _calc_open_trade_value(self) -> float: + def _calc_open_trade_value(self, amount: Optional[float] = None) -> float: """ Calculate the open_rate including open_fee. :return: Price in of the open trade incl. Fees """ - open_trade = Decimal(self.amount) * Decimal(self.open_rate) + if amount is None: + amount = self.amount + open_trade = Decimal(amount) * Decimal(self.open_rate) fees = open_trade * Decimal(self.fee_open) if self.is_short: return float(open_trade - fees) @@ -651,6 +653,7 @@ class LocalTrade(): return self.interest_mode(borrowed=borrowed, rate=rate, hours=hours) def calc_close_trade_value(self, rate: Optional[float] = None, + fee: Optional[float] = None, interest_rate: Optional[float] = None) -> float: """ @@ -718,23 +721,30 @@ class LocalTrade(): If interest_rate is not set self.interest_rate will be used :return: profit ratio as float """ + close_trade_value = self.calc_close_trade_value( rate=(rate or self.close_rate), fee=(fee or self.fee_close), interest_rate=(interest_rate or self.interest_rate) ) - if ((self.is_short and close_trade_value == 0.0) or - (not self.is_short and self.open_trade_value == 0.0)): + + if self.leverage is None: + leverage = 1.0 + else: + leverage = self.leverage + + stake_value = self._calc_open_trade_value(amount=(self.amount/leverage)) + + short_close_zero = (self.is_short and close_trade_value == 0.0) + long_close_zero = (not self.is_short and self.open_trade_value == 0.0) + + if (short_close_zero or long_close_zero): return 0.0 else: - if self.has_no_leverage: - # TODO-mg: Use one profit_ratio calculation - profit_ratio = (close_trade_value/self.open_trade_value) - 1 + if self.is_short: + profit_ratio = ((self.open_trade_value - close_trade_value) / stake_value) else: - if self.is_short: - profit_ratio = ((self.open_trade_value - close_trade_value) / self.stake_amount) - else: - profit_ratio = ((close_trade_value - self.open_trade_value) / self.stake_amount) + profit_ratio = ((close_trade_value - self.open_trade_value) / stake_value) return float(f"{profit_ratio:.8f}") diff --git a/tests/persistence/test_persistence_leverage.py b/tests/persistence/test_persistence_leverage.py index 2326f92af..d2345163d 100644 --- a/tests/persistence/test_persistence_leverage.py +++ b/tests/persistence/test_persistence_leverage.py @@ -228,12 +228,15 @@ def test_calc_open_close_trade_price_lev(limit_lev_buy_order, limit_lev_sell_ord - (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_amount - = 0.00018628848193889054 / 0.0009999999999226999 - = 0.18628848195329067 + total_profit_percentage = total_profit / stake_value + = 0.00018628848193889054 / 0.0010024999999225066 + = 0.18582392214792087 """ trade = Trade( pair='ETH/BTC', @@ -257,7 +260,7 @@ def test_calc_open_close_trade_price_lev(limit_lev_buy_order, limit_lev_sell_ord # Profit in BTC assert round(trade.calc_profit(), 8) == round(0.00018628848193889054, 8) # Profit in percent - assert round(trade.calc_profit_ratio(), 8) == round(0.18628848195329067, 8) + assert round(trade.calc_profit_ratio(), 8) == round(0.18582392214792087, 8) @pytest.mark.usefixtures("init_persistence") @@ -280,12 +283,15 @@ def test_trade_close_lev(fee): close_value: (amount * close_rate) + (amount * close_rate * fee) - interest = (15 * 0.2) - (15 * 0.2 * 0.0025) - 0.000625 = 2.9918750000000003 + stake_value: (amount/lev * open_rate) + (amount/lev * open_rate * fee) + = ((15/3) * 0.1) + ((15/3) * 0.1 * 0.0025) + = 0.50125 total_profit = close_value - open_value = 2.9918750000000003 - 1.50375 = 1.4881250000000001 - total_profit_percentage = total_profit / stake_amount - = 1.4881250000000001 / 0.5 - = 2.9762500000000003 + total_profit_ratio = total_profit / stake_value + = 1.4881250000000001 / 0.50125 + = 2.968827930174564 """ trade = Trade( pair='ETH/BTC', @@ -306,7 +312,7 @@ def test_trade_close_lev(fee): assert trade.is_open is True trade.close(0.2) assert trade.is_open is False - assert trade.close_profit == round(2.9762500000000003, 8) + assert trade.close_profit == round(2.968827930174564, 8) assert trade.close_date is not None # TODO-mg: Remove these comments probably @@ -391,12 +397,15 @@ def test_update_limit_order_lev(limit_lev_buy_order, limit_lev_sell_order, fee, 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_amount - = 0.00018645514860554435 / 0.0009999999999226999 - = 0.18645514861995735 + total_profit_percentage = total_profit / stake_value + = 0.00018645514860554435 / 0.0010024999999225066 + = 0.1859901731869899 """ trade = Trade( @@ -432,7 +441,7 @@ def test_update_limit_order_lev(limit_lev_buy_order, limit_lev_sell_order, fee, trade.update(limit_lev_sell_order) # assert trade.open_order_id is None assert trade.close_rate == 0.00001173 - assert trade.close_profit == round(0.18645514861995735, 8) + 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\(id=2, " r"pair=ETH/BTC, amount=272.97543219, open_rate=0.00001099, open_since=.*\).", @@ -460,12 +469,15 @@ def test_update_market_order_lev(market_lev_buy_order, market_lev_sell_order, fe close_value: (amount_closed * close_rate) - (amount_closed * close_rate * fee) = (275.97543219 * 0.00004173) - (275.97543219 * 0.00004173 * 0.0025) = 0.011487663648325479 + 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 - interest = 0.011487663648325479 - 0.01134051354788177 - 3.7707443218227e-06 = 0.0001433793561218866 - total_profit_percentage = total_profit / stake_amount - = 0.0001433793561218866 / 0.0037707443218227 - = 0.03802415223225211 + total_profit_percentage = total_profit / stake_value + = 0.0001433793561218866 / 0.0037801711826272568 + = 0.03792932890997717 """ trade = Trade( id=1, @@ -500,7 +512,7 @@ def test_update_market_order_lev(market_lev_buy_order, market_lev_sell_order, fe trade.update(market_lev_sell_order) assert trade.open_order_id is None assert trade.close_rate == 0.00004173 - assert trade.close_profit == round(0.03802415223225211, 8) + assert trade.close_profit == round(0.03792932890997717, 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. @@ -560,16 +572,19 @@ def test_calc_profit_lev(market_lev_buy_order, market_lev_sell_order, fee): = 0.014781713536310649 (275.97543219 * 0.00000437) - (275.97543219 * 0.00000437 * 0.003) - 1.88537216091135e-06 = 0.0012005092285933775 + 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 = 0.01479007168225405 - 0.01134051354788177 = 0.003449558134372281 = 0.001200640891872485 - 0.01134051354788177 = -0.010139872656009285 = 0.014781713536310649 - 0.01134051354788177 = 0.0034411999884288794 = 0.0012005092285933775 - 0.01134051354788177 = -0.010140004319288392 - total_profit_percentage = total_profit / stake_amount - 0.003449558134372281/0.0037707443218227 = 0.9148215418394732 - -0.010139872656009285/0.0037707443218227 = -2.6890904793852157 - 0.0034411999884288794/0.0037707443218227 = 0.9126049646255184 - -0.010140004319288392/0.0037707443218227 = -2.6891253964381554 + total_profit_percentage = total_profit / stake_value + 0.003449558134372281/0.0037801711826272568 = 0.9125401913610705 + -0.010139872656009285/0.0037801711826272568 = -2.682384518089991 + 0.0034411999884288794/0.0037801711826272568 = 0.9103291417710906 + -0.010140004319288392/0.0037801711826272568 = -2.6824193480679854 """ trade = Trade( @@ -593,33 +608,33 @@ def test_calc_profit_lev(market_lev_buy_order, market_lev_sell_order, fee): assert trade.calc_profit(rate=0.00005374, interest_rate=0.0005) == round( 0.003449558134372281, 8) assert trade.calc_profit_ratio( - rate=0.00005374, interest_rate=0.0005) == round(0.9148215418394732, 8) + rate=0.00005374, interest_rate=0.0005) == round(0.9125401913610705, 8) # Lower than open rate trade.open_date = datetime.utcnow() - timedelta(hours=5, minutes=0) assert trade.calc_profit( rate=0.00000437, interest_rate=0.00025) == round(-0.010139872656009285, 8) assert trade.calc_profit_ratio( - rate=0.00000437, interest_rate=0.00025) == round(-2.6890904793852157, 8) + rate=0.00000437, interest_rate=0.00025) == round(-2.682384518089991, 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(0.0034411999884288794, 8) assert trade.calc_profit_ratio(rate=0.00005374, fee=0.003, - interest_rate=0.0005) == round(0.9126049646255184, 8) + interest_rate=0.0005) == round(0.9103291417710906, 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(-0.010140004319288392, 8) assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003, - interest_rate=0.00025) == round(-2.6891253964381554, 8) + interest_rate=0.00025) == round(-2.6824193480679854, 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(0.0001433793561218866, 8) - assert trade.calc_profit_ratio() == round(0.03802415223225211, 8) + assert trade.calc_profit_ratio() == round(0.03792932890997717, 8) # Test with a custom fee rate on the close trade # assert trade.calc_profit(fee=0.003) == 0.00006163