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Changed interest implementation

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This commit is contained in:
Sam Germain
2021-08-06 01:15:18 -06:00
parent ecdecb02fa
commit 8e941e6836
9 changed files with 148 additions and 123 deletions
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7
tests/conftest_trades.py
View File

@@ -1,6 +1,5 @@
from datetime import datetime, timedelta, timezone
from freqtrade.enums import InterestMode
from freqtrade.persistence.models import Order, Trade
@@ -383,8 +382,7 @@ def short_trade(fee):
sell_reason='sell_signal', # TODO-mg: Update to exit/close reason
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20),
# close_date=datetime.now(tz=timezone.utc) - timedelta(minutes=2),
is_short=True,
interest_mode=InterestMode.HOURSPERDAY
is_short=True
)
o = Order.parse_from_ccxt_object(short_order(), 'ETC/BTC', 'sell')
trade.orders.append(o)
@@ -473,8 +471,7 @@ def leverage_trade(fee):
sell_reason='sell_signal', # TODO-mg: Update to exit/close reason
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=300),
close_date=datetime.now(tz=timezone.utc),
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPER4
interest_rate=0.0005
)
o = Order.parse_from_ccxt_object(leverage_order(), 'DOGE/BTC', 'sell')
trade.orders.append(o)

26
tests/leverage/test_leverage.py Normal file
View File

@@ -0,0 +1,26 @@
# from decimal import Decimal
# from freqtrade.enums import Collateral, TradingMode
# from freqtrade.leverage import interest
# from freqtrade.exceptions import OperationalException
# binance = "binance"
# kraken = "kraken"
# ftx = "ftx"
# other = "bittrex"
def test_interest():
return
# Binance
# assert interest(binance, borrowed=60, rate=0.0005,
# hours = 1/6) == round(0.0008333333333333334, 8)
# TODO-lev: The below tests
# assert interest(binance, borrowed=60, rate=0.00025, hours=5.0) == 1.0
# # Kraken
# assert interest(kraken, borrowed=60, rate=0.0005, hours=1.0) == 1.0
# assert interest(kraken, borrowed=60, rate=0.00025, hours=5.0) == 1.0
# # FTX
# assert interest(ftx, borrowed=60, rate=0.0005, hours=1.0) == 1.0
# assert interest(ftx, borrowed=60, rate=0.00025, hours=5.0) == 1.0

148
tests/test_persistence.py
View File

@@ -11,7 +11,6 @@ import pytest
from sqlalchemy import create_engine, inspect, text
from freqtrade import constants
from freqtrade.enums import InterestMode
from freqtrade.exceptions import DependencyException, OperationalException
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
@@ -145,7 +144,7 @@ def test__set_stop_loss_isolated_liq(fee):
trade.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.stop_loss == 0.09
assert trade.initial_stop_loss == 0.09
@@ -155,12 +154,12 @@ def test__set_stop_loss_isolated_liq(fee):
assert trade.stop_loss == 0.08
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.stop_loss == 0.08
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.stop_loss == 0.07
assert trade.initial_stop_loss == 0.09
@@ -234,26 +233,25 @@ def test_interest(market_buy_order_usdt, fee):
open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='kraken',
exchange='binance',
leverage=3.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
)
# 10min, 3x leverage
# binance
assert round(float(trade.calculate_interest()), 8) == round(0.0008333333333333334, 8)
# kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.040
# Short
trade.is_short = True
trade.recalc_open_trade_value()
# binace
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert float(trade.calculate_interest()) == 0.000625
# kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert isclose(float(trade.calculate_interest()), 0.030)
# 5hr, long
@@ -261,40 +259,40 @@ def test_interest(market_buy_order_usdt, fee):
trade.is_short = False
trade.recalc_open_trade_value()
# binance
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == round(0.004166666666666667, 8)
# kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.06
# short
trade.is_short = True
trade.recalc_open_trade_value()
# binace
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8)
# kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.045
# 0.00025 interest, 5hr, long
trade.is_short = False
trade.recalc_open_trade_value()
# binance
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert round(float(trade.calculate_interest(interest_rate=0.00025)),
8) == round(0.0020833333333333333, 8)
# kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert isclose(float(trade.calculate_interest(interest_rate=0.00025)), 0.03)
# short
trade.is_short = True
trade.recalc_open_trade_value()
# binace
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert round(float(trade.calculate_interest(interest_rate=0.00025)),
8) == round(0.0015624999999999999, 8)
# kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert float(trade.calculate_interest(interest_rate=0.00025)) == 0.0225
# 5x leverage, 0.0005 interest, 5hr, long
@@ -302,19 +300,19 @@ def test_interest(market_buy_order_usdt, fee):
trade.recalc_open_trade_value()
trade.leverage = 5.0
# binance
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == 0.005
# kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == round(0.07200000000000001, 8)
# short
trade.is_short = True
trade.recalc_open_trade_value()
# binace
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8)
# kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.045
# 1x leverage, 0.0005 interest, 5hr
@@ -322,19 +320,19 @@ def test_interest(market_buy_order_usdt, fee):
trade.recalc_open_trade_value()
trade.leverage = 1.0
# binance
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert float(trade.calculate_interest()) == 0.0
# kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.0
# short
trade.is_short = True
trade.recalc_open_trade_value()
# binace
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert float(trade.calculate_interest()) == 0.003125
# kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.045
@@ -506,7 +504,7 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
open_date=arrow.utcnow().datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
exchange='binance'
)
assert trade.open_order_id is None
assert trade.close_profit is None
@@ -550,7 +548,6 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
is_short=True,
leverage=3.0,
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
)
trade.open_order_id = 'something'
trade.update(limit_sell_order_usdt)
@@ -628,7 +625,6 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
amount=30.0,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
@@ -644,12 +640,12 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
assert trade.calc_profit_ratio() == round(0.0945137157107232, 8)
# 3x leverage, binance
trade.leverage = 3
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert trade._calc_open_trade_value() == 60.15
assert round(trade.calc_close_trade_value(), 8) == 65.83416667
assert trade.calc_profit() == round(5.684166670000003, 8)
assert trade.calc_profit_ratio() == round(0.2834995845386534, 8)
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
# 3x leverage, kraken
assert trade._calc_open_trade_value() == 60.15
assert trade.calc_close_trade_value() == 65.795
@@ -662,7 +658,7 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
assert trade.calc_close_trade_value() == 66.231165
assert trade.calc_profit() == round(-6.381165000000003, 8)
assert trade.calc_profit_ratio() == round(-0.319857894736842, 8)
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
# 3x leverage, short, binance
assert trade._calc_open_trade_value() == 59.85
assert trade.calc_close_trade_value() == 66.1663784375
@@ -675,7 +671,7 @@ def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt
assert trade.calc_profit() == round(-6.316378437500013, 8)
assert trade.calc_profit_ratio() == round(-0.1055368159983292, 8)
# 1x leverage, short, kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert trade._calc_open_trade_value() == 59.850
assert trade.calc_close_trade_value() == 66.231165
assert trade.calc_profit() == -6.381165
@@ -694,7 +690,6 @@ def test_trade_close(limit_buy_order_usdt, limit_sell_order_usdt, fee):
fee_close=fee.return_value,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY,
exchange='binance',
)
assert trade.close_profit is None
@@ -805,7 +800,7 @@ def test_calc_open_trade_value(limit_buy_order_usdt, fee):
trade.recalc_open_trade_value()
assert trade._calc_open_trade_value() == 59.85
trade.leverage = 3
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert trade._calc_open_trade_value() == 59.85
trade.is_short = False
trade.recalc_open_trade_value()
@@ -832,7 +827,6 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
fee_close=fee.return_value,
exchange='binance',
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
)
trade.open_order_id = 'close_trade'
trade.update(limit_buy_order_usdt)
@@ -849,7 +843,7 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 74.77416667
# 3x leverage kraken
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert trade.calc_close_trade_value(rate=2.5) == 74.7725
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 74.735
@@ -860,7 +854,7 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 75.300225
# 3x leverage binance, short
trade.interest_mode = InterestMode.HOURSPERDAY
trade.exchange = "binance"
assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.18906641
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 75.22656719
@@ -870,7 +864,7 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 75.22656719
# 1x leverage kraken, short
trade.interest_mode = InterestMode.HOURSPER4
trade.exchange = "kraken"
assert round(trade.calc_close_trade_value(rate=2.5), 8) == 75.2626875
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 75.300225
@@ -1013,7 +1007,6 @@ def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
open_rate=2.0,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance'
@@ -1047,62 +1040,62 @@ def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
# 3x leverage, long ###################################################
trade.leverage = 3.0
# Higher than open rate - 2.1 quote
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit(rate=2.1, fee=0.0025) == 2.69166667
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit(rate=2.1, fee=0.0025) == 2.6525
# 1.9 quote
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit(rate=1.9, fee=0.0025) == -3.29333333
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit(rate=1.9, fee=0.0025) == -3.3325
# 2.2 quote
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit(fee=0.0025) == 5.68416667
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit(fee=0.0025) == 5.645
# 3x leverage, short ###################################################
trade.is_short = True
trade.recalc_open_trade_value()
# 2.1 quote - Higher than open rate
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit(rate=2.1, fee=0.0025) == round(-3.308815781249997, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit(rate=2.1, fee=0.0025) == -3.3706575
# 1.9 quote - Lower than open rate
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit(rate=1.9, fee=0.0025) == round(2.7063095312499996, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit(rate=1.9, fee=0.0025) == 2.6503575
# Test when we apply a Sell order. Uses sell order used above
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit(fee=0.0025) == round(-6.316378437499999, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit(fee=0.0025) == -6.381165
# 1x leverage, short ###################################################
trade.leverage = 1.0
# 2.1 quote - Higher than open rate
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit(rate=2.1, fee=0.0025) == round(-3.308815781249997, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit(rate=2.1, fee=0.0025) == -3.3706575
# 1.9 quote - Lower than open rate
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit(rate=1.9, fee=0.0025) == round(2.7063095312499996, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit(rate=1.9, fee=0.0025) == 2.6503575
# Test when we apply a Sell order. Uses sell order used above
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit(fee=0.0025) == round(-6.316378437499999, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit(fee=0.0025) == -6.381165
@@ -1115,7 +1108,6 @@ def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee):
open_rate=2.0,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance'
@@ -1150,62 +1142,62 @@ def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee):
# 3x leverage, long ###################################################
trade.leverage = 3.0
# 2.1 quote - Higher than open rate
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit_ratio(rate=2.1) == round(0.13424771421446402, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit_ratio(rate=2.1) == round(0.13229426433915248, 8)
# 1.9 quote - Lower than open rate
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit_ratio(rate=1.9) == round(-0.16425602643391513, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit_ratio(rate=1.9) == round(-0.16620947630922667, 8)
# Test when we apply a Sell order. Uses sell order used above
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit_ratio() == round(0.2834995845386534, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit_ratio() == round(0.2815461346633419, 8)
# 3x leverage, short ###################################################
trade.is_short = True
trade.recalc_open_trade_value()
# 2.1 quote - Higher than open rate
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit_ratio(rate=2.1) == round(-0.1658554276315789, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit_ratio(rate=2.1) == round(-0.16895526315789455, 8)
# 1.9 quote - Lower than open rate
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit_ratio(rate=1.9) == round(0.13565461309523819, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit_ratio(rate=1.9) == round(0.13285000000000002, 8)
# Test when we apply a Sell order. Uses sell order used above
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit_ratio() == round(-0.3166104479949876, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit_ratio() == round(-0.319857894736842, 8)
# 1x leverage, short ###################################################
trade.leverage = 1.0
# 2.1 quote - Higher than open rate
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance" # binance
assert trade.calc_profit_ratio(rate=2.1) == round(-0.05528514254385963, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit_ratio(rate=2.1) == round(-0.05631842105263152, 8)
# 1.9 quote - Lower than open rate
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance"
assert trade.calc_profit_ratio(rate=1.9) == round(0.045218204365079395, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit_ratio(rate=1.9) == round(0.04428333333333334, 8)
# Test when we apply a Sell order. Uses sell order used above
trade.interest_mode = InterestMode.HOURSPERDAY # binance
trade.exchange = "binance"
assert trade.calc_profit_ratio() == round(-0.1055368159983292, 8)
trade.interest_mode = InterestMode.HOURSPER4 # kraken
trade.exchange = "kraken"
assert trade.calc_profit_ratio() == round(-0.106619298245614, 8)
@@ -1542,7 +1534,6 @@ def test_adjust_stop_loss_short(fee):
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
@@ -1575,7 +1566,7 @@ def test_adjust_stop_loss_short(fee):
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 round(trade.stop_loss, 8) == 0.66
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
assert trade.stop_loss_pct == 0.1
@@ -1859,7 +1850,6 @@ def test_stoploss_reinitialization_short(default_conf, fee):
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