Changed tests in tests/test_persistence.py to use usdt prices
This commit is contained in:
Sam Germain
parent
c5e3348b89
commit
90a61b1765
@ -812,7 +812,7 @@ def shitcoinmarkets(markets):
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"future": False,
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"active": True
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},
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})
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})
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return shitmarkets
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@ -1115,7 +1115,7 @@ def order_book_l2_usd():
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[25.576, 262.016],
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[25.577, 178.557],
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[25.578, 78.614]
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],
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],
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'timestamp': None,
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'datetime': None,
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'nonce': 2372149736
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@ -2084,3 +2084,88 @@ def saved_hyperopt_results():
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].total_seconds()
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return hyperopt_res
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@pytest.fixture(scope='function')
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def limit_buy_order_usdt_open():
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return {
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'id': 'mocked_limit_buy',
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'type': 'limit',
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'side': 'buy',
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'symbol': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'timestamp': arrow.utcnow().int_timestamp,
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'price': 2.00,
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'amount': 30.0,
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'filled': 0.0,
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'cost': 60.0,
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'remaining': 30.0,
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'status': 'open'
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}
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@pytest.fixture(scope='function')
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def limit_buy_order_usdt(limit_buy_order_usdt_open):
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order = deepcopy(limit_buy_order_usdt_open)
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order['status'] = 'closed'
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order['filled'] = order['amount']
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order['remaining'] = 0.0
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return order
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@pytest.fixture
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def limit_sell_order_usdt_open():
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return {
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'id': 'mocked_limit_sell',
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'type': 'limit',
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'side': 'sell',
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'pair': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'timestamp': arrow.utcnow().int_timestamp,
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'price': 2.20,
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'amount': 30.0,
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'filled': 0.0,
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'remaining': 30.0,
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'status': 'open'
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}
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@pytest.fixture
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def limit_sell_order_usdt(limit_sell_order_usdt_open):
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order = deepcopy(limit_sell_order_usdt_open)
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order['remaining'] = 0.0
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order['filled'] = order['amount']
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order['status'] = 'closed'
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return order
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@pytest.fixture(scope='function')
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def market_buy_order_usdt():
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return {
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'id': 'mocked_market_buy',
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'type': 'market',
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'side': 'buy',
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'symbol': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'price': 2.00,
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'amount': 30.0,
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'filled': 30.0,
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'remaining': 0.0,
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'status': 'closed'
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}
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@pytest.fixture
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def market_sell_order_usdt():
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return {
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'id': 'mocked_limit_sell',
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'type': 'market',
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'side': 'sell',
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'symbol': 'mocked',
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'datetime': arrow.utcnow().isoformat(),
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'price': 2.20,
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'amount': 30.0,
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'filled': 30.0,
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'remaining': 0.0,
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'status': 'closed'
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}
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@ -1,6 +1,7 @@
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# pragma pylint: disable=missing-docstring, C0103
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import logging
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from datetime import datetime, timedelta, timezone
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from math import isclose
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from pathlib import Path
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from types import FunctionType
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from unittest.mock import MagicMock
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@ -64,40 +65,39 @@ def test_init_dryrun_db(default_conf, tmpdir):
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@pytest.mark.usefixtures("init_persistence")
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def test_update_with_binance(limit_buy_order, limit_sell_order, fee, caplog):
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def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, caplog):
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"""
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On this test we will buy and sell a crypto currency.
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On this test we will buy and sell a crypto currency.
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fee: 0.25% quote
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open_rate: 2.00 quote
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close_rate: 2.20 quote
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amount: = 30.0 crypto
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stake_amount
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1x,-1x: 60.0 quote
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borrowed
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1x: 0 quote
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open_value: (amount * open_rate) ± (amount * open_rate * fee)
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1x, 3x: 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote
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amount_closed:
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1x, 3x : amount
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close_value:
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1x, 3x: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
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binance,kraken 1x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) = 65.835
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total_profit:
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1x, 3x : close_value - open_value
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binance,kraken 1x: 65.835 - 60.15 = 5.685
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total_profit_ratio:
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1x, 3x : ((close_value/open_value) - 1) * leverage
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binance 1x: ((65.835 / 60.15) - 1) * 1 = 0.0945137157107232
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Buy
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- Buy: 90.99181073 Crypto at 0.00001099 BTC
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(90.99181073*0.00001099 = 0.0009999 BTC)
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- Buying fee: 0.25%
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- Total cost of buy trade: 0.001002500 BTC
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((90.99181073*0.00001099) + ((90.99181073*0.00001099)*0.0025))
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Sell
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- Sell: 90.99181073 Crypto at 0.00001173 BTC
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(90.99181073*0.00001173 = 0,00106733394 BTC)
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- Selling fee: 0.25%
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- Total cost of sell trade: 0.001064666 BTC
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((90.99181073*0.00001173) - ((90.99181073*0.00001173)*0.0025))
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Profit/Loss: +0.000062166 BTC
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(Sell:0.001064666 - Buy:0.001002500)
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Profit/Loss percentage: 0.0620
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((0.001064666/0.001002500)-1 = 6.20%)
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:param limit_buy_order:
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:param limit_sell_order:
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:return:
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"""
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trade = Trade(
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id=2,
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pair='ETH/BTC',
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stake_amount=0.001,
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open_rate=0.01,
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amount=5,
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pair='ADA/USDT',
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stake_amount=60.0,
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open_rate=2.0,
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amount=30.0,
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is_open=True,
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open_date=arrow.utcnow().datetime,
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fee_open=fee.return_value,
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@ -109,35 +109,36 @@ def test_update_with_binance(limit_buy_order, limit_sell_order, fee, caplog):
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assert trade.close_date is None
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trade.open_order_id = 'something'
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trade.update(limit_buy_order)
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trade.update(limit_buy_order_usdt)
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assert trade.open_order_id is None
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assert trade.open_rate == 0.00001099
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assert trade.open_rate == 2.00
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assert trade.close_profit is None
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assert trade.close_date is None
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assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
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r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001099, open_since=.*\).",
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r"pair=ADA/USDT, amount=30.00000000, open_rate=2.00000000, open_since=.*\).",
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caplog)
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caplog.clear()
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trade.open_order_id = 'something'
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trade.update(limit_sell_order)
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trade.update(limit_sell_order_usdt)
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assert trade.open_order_id is None
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assert trade.close_rate == 0.00001173
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assert trade.close_profit == 0.06201058
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assert trade.close_rate == 2.20
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assert trade.close_profit == round(0.0945137157107232, 8)
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assert trade.close_date is not None
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assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
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r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001099, open_since=.*\).",
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r"pair=ADA/USDT, amount=30.00000000, open_rate=2.00000000, open_since=.*\).",
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caplog)
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caplog.clear()
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@pytest.mark.usefixtures("init_persistence")
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def test_update_market_order(market_buy_order, market_sell_order, fee, caplog):
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def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee, caplog):
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trade = Trade(
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id=1,
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_rate=0.01,
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pair='ADA/USDT',
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stake_amount=60.0,
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open_rate=2.0,
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amount=30.0,
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is_open=True,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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@ -146,61 +147,60 @@ def test_update_market_order(market_buy_order, market_sell_order, fee, caplog):
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)
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trade.open_order_id = 'something'
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trade.update(market_buy_order)
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trade.update(market_buy_order_usdt)
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assert trade.open_order_id is None
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assert trade.open_rate == 0.00004099
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assert trade.open_rate == 2.0
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assert trade.close_profit is None
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assert trade.close_date is None
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assert log_has_re(r"MARKET_BUY has been fulfilled for Trade\(id=1, "
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r"pair=ETH/BTC, amount=91.99181073, open_rate=0.00004099, open_since=.*\).",
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r"pair=ADA/USDT, amount=30.00000000, open_rate=2.00000000, open_since=.*\).",
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caplog)
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caplog.clear()
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trade.is_open = True
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trade.open_order_id = 'something'
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trade.update(market_sell_order)
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trade.update(market_sell_order_usdt)
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assert trade.open_order_id is None
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assert trade.close_rate == 0.00004173
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assert trade.close_profit == 0.01297561
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assert trade.close_rate == 2.2
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assert trade.close_profit == round(0.0945137157107232, 8)
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assert trade.close_date is not None
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assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
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r"pair=ETH/BTC, amount=91.99181073, open_rate=0.00004099, open_since=.*\).",
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r"pair=ADA/USDT, amount=30.00000000, open_rate=2.00000000, open_since=.*\).",
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caplog)
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@pytest.mark.usefixtures("init_persistence")
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def test_calc_open_close_trade_price(limit_buy_order, limit_sell_order, fee):
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def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee):
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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open_rate=0.01,
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amount=5,
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pair='ADA/USDT',
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stake_amount=60.0,
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open_rate=2.0,
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amount=30.0,
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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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)
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trade.open_order_id = 'something'
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trade.update(limit_buy_order)
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assert trade._calc_open_trade_value() == 0.0010024999999225068
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trade.update(limit_buy_order_usdt)
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assert trade._calc_open_trade_value() == 60.15
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trade.update(limit_sell_order_usdt)
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assert isclose(trade.calc_close_trade_value(), 65.835)
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trade.update(limit_sell_order)
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assert trade.calc_close_trade_value() == 0.0010646656050132426
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# Profit in BTC
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assert trade.calc_profit() == 0.00006217
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# Profit in USDT
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assert trade.calc_profit() == 5.685
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# Profit in percent
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assert trade.calc_profit_ratio() == 0.06201058
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assert trade.calc_profit_ratio() == round(0.0945137157107232, 8)
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@pytest.mark.usefixtures("init_persistence")
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def test_trade_close(limit_buy_order, limit_sell_order, fee):
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def test_trade_close(limit_buy_order_usdt, limit_sell_order_usdt, fee):
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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open_rate=0.01,
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amount=5,
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pair='ADA/USDT',
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stake_amount=60.0,
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open_rate=2.0,
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amount=30.0,
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is_open=True,
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fee_open=fee.return_value,
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fee_close=fee.return_value,
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@ -210,9 +210,9 @@ def test_trade_close(limit_buy_order, limit_sell_order, fee):
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assert trade.close_profit is None
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assert trade.close_date is None
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assert trade.is_open is True
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trade.close(0.02)
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trade.close(2.2)
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assert trade.is_open is False
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assert trade.close_profit == 0.99002494
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assert trade.close_profit == round(0.0945137157107232, 8)
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assert trade.close_date is not None
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new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime,
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@ -220,34 +220,34 @@ def test_trade_close(limit_buy_order, limit_sell_order, fee):
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# Close should NOT update close_date if the trade has been closed already
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assert trade.is_open is False
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trade.close_date = new_date
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trade.close(0.02)
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trade.close(2.2)
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assert trade.close_date == new_date
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@pytest.mark.usefixtures("init_persistence")
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def test_calc_close_trade_price_exception(limit_buy_order, fee):
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def test_calc_close_trade_price_exception(limit_buy_order_usdt, fee):
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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open_rate=0.1,
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amount=5,
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pair='ADA/USDT',
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stake_amount=60.0,
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open_rate=2.0,
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amount=30.0,
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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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)
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trade.open_order_id = 'something'
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trade.update(limit_buy_order)
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trade.update(limit_buy_order_usdt)
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assert trade.calc_close_trade_value() == 0.0
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@pytest.mark.usefixtures("init_persistence")
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def test_update_open_order(limit_buy_order):
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def test_update_open_order(limit_buy_order_usdt):
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=1.00,
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open_rate=0.01,
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amount=5,
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pair='ADA/USDT',
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stake_amount=60.0,
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open_rate=2.0,
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amount=30.0,
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fee_open=0.1,
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fee_close=0.1,
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exchange='binance',
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@ -257,8 +257,8 @@ def test_update_open_order(limit_buy_order):
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assert trade.close_profit is None
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assert trade.close_date is None
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limit_buy_order['status'] = 'open'
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trade.update(limit_buy_order)
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limit_buy_order_usdt['status'] = 'open'
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trade.update(limit_buy_order_usdt)
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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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@ -266,127 +266,270 @@ def test_update_open_order(limit_buy_order):
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@pytest.mark.usefixtures("init_persistence")
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def test_update_invalid_order(limit_buy_order):
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def test_update_invalid_order(limit_buy_order_usdt):
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=1.00,
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amount=5,
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open_rate=0.001,
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pair='ADA/USDT',
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stake_amount=60.0,
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amount=30.0,
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open_rate=2.0,
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fee_open=0.1,
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fee_close=0.1,
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exchange='binance',
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)
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limit_buy_order['type'] = 'invalid'
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limit_buy_order_usdt['type'] = 'invalid'
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with pytest.raises(ValueError, match=r'Unknown order type'):
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trade.update(limit_buy_order)
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trade.update(limit_buy_order_usdt)
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@pytest.mark.usefixtures("init_persistence")
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def test_calc_open_trade_value(limit_buy_order, fee):
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def test_calc_open_trade_value(limit_buy_order_usdt, fee):
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# 10 minute limit trade on Binance/Kraken
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# fee: 0.25 %, 0.3% quote
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# open_rate: 2.00 quote
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# amount: = 30.0 crypto
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# stake_amount
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# 1x, -1x: 60.0 quote
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# open_value: (amount * open_rate) ± (amount * open_rate * fee)
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# 0.25% fee
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# 1x, 3x: 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote
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# 0.3% fee
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# 1x, 3x: 30 * 2 + 30 * 2 * 0.003 = 60.18 quote
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trade = Trade(
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pair='ETH/BTC',
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stake_amount=0.001,
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amount=5,
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open_rate=0.00001099,
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pair='ADA/USDT',
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stake_amount=60.0,
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amount=30.0,
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open_rate=2.0,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
)
|
||||
trade.open_order_id = 'open_trade'
|
||||
trade.update(limit_buy_order) # Buy @ 0.00001099
|
||||
trade.update(limit_buy_order_usdt) # Buy @ 2.0
|
||||
|
||||
# Get the open rate price with the standard fee rate
|
||||
assert trade._calc_open_trade_value() == 0.0010024999999225068
|
||||
assert trade._calc_open_trade_value() == 60.15
|
||||
trade.fee_open = 0.003
|
||||
# Get the open rate price with a custom fee rate
|
||||
assert trade._calc_open_trade_value() == 0.001002999999922468
|
||||
assert trade._calc_open_trade_value() == 60.18
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_close_trade_price(limit_buy_order, limit_sell_order, fee):
|
||||
def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=5,
|
||||
open_rate=0.00001099,
|
||||
pair='ADA/USDT',
|
||||
stake_amount=60.0,
|
||||
amount=30.0,
|
||||
open_rate=2.0,
|
||||
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
|
||||
trade.update(limit_buy_order_usdt) # Buy @ 2.0
|
||||
|
||||
# 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
|
||||
|
||||
assert trade.calc_close_trade_value(rate=2.5) == 74.8125
|
||||
# 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
|
||||
|
||||
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 74.775
|
||||
# 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
|
||||
trade.update(limit_sell_order_usdt)
|
||||
assert trade.calc_close_trade_value(fee=0.005) == 65.67
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_profit(limit_buy_order, limit_sell_order, fee):
|
||||
def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
"""
|
||||
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
|
||||
arguments:
|
||||
fee:
|
||||
0.25% quote
|
||||
0.30% quote
|
||||
interest_rate: 0.05% per 4 hrs
|
||||
open_rate: 2.0 quote
|
||||
close_rate:
|
||||
1.9 quote
|
||||
2.1 quote
|
||||
2.2 quote
|
||||
amount: = 30.0 crypto
|
||||
stake_amount
|
||||
1x,-1x: 60.0 quote
|
||||
3x,-3x: 20.0 quote
|
||||
hours: 1/6 (10 minutes)
|
||||
borrowed
|
||||
1x: 0 quote
|
||||
3x: 40 quote
|
||||
-1x: 30 crypto
|
||||
-3x: 30 crypto
|
||||
time-periods:
|
||||
kraken: (1 + 1) 4hr_periods = 2 4hr_periods
|
||||
binance: 1/24 24hr_periods
|
||||
interest: borrowed * interest_rate * time-periods
|
||||
1x : /
|
||||
binance 3x: 40 * 0.0005 * 1/24 = 0.0008333333333333334 quote
|
||||
kraken 3x: 40 * 0.0005 * 2 = 0.040 quote
|
||||
binace -1x,-3x: 30 * 0.0005 * 1/24 = 0.000625 crypto
|
||||
kraken -1x,-3x: 30 * 0.0005 * 2 = 0.030 crypto
|
||||
open_value: (amount * open_rate) ± (amount * open_rate * fee)
|
||||
0.0025 fee
|
||||
1x, 3x: 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote
|
||||
-1x,-3x: 30 * 2 - 30 * 2 * 0.0025 = 59.85 quote
|
||||
0.003 fee: Is only applied to close rate in this test
|
||||
amount_closed:
|
||||
1x, 3x = amount
|
||||
-1x, -3x = amount + interest
|
||||
binance -1x,-3x: 30 + 0.000625 = 30.000625 crypto
|
||||
kraken -1x,-3x: 30 + 0.03 = 30.03 crypto
|
||||
close_value:
|
||||
equations:
|
||||
1x, 3x: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest
|
||||
-1x,-3x: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
|
||||
2.1 quote
|
||||
bin,krak 1x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) = 62.8425
|
||||
bin 3x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) - 0.0008333333 = 62.8416666667
|
||||
krak 3x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) - 0.040 = 62.8025
|
||||
bin -1x,-3x: (30.000625 * 2.1) + (30.000625 * 2.1 * 0.0025) = 63.15881578125
|
||||
krak -1x,-3x: (30.03 * 2.1) + (30.03 * 2.1 * 0.0025) = 63.2206575
|
||||
1.9 quote
|
||||
bin,krak 1x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) = 56.8575
|
||||
bin 3x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) - 0.0008333333 = 56.85666667
|
||||
krak 3x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) - 0.040 = 56.8175
|
||||
bin -1x,-3x: (30.000625 * 1.9) + (30.000625 * 1.9 * 0.0025) = 57.14369046875
|
||||
krak -1x,-3x: (30.03 * 1.9) + (30.03 * 1.9 * 0.0025) = 57.1996425
|
||||
2.2 quote
|
||||
bin,krak 1x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) = 65.835
|
||||
bin 3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) - 0.00083333 = 65.83416667
|
||||
krak 3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) - 0.040 = 65.795
|
||||
bin -1x,-3x: (30.000625 * 2.20) + (30.000625 * 2.20 * 0.0025) = 66.1663784375
|
||||
krak -1x,-3x: (30.03 * 2.20) + (30.03 * 2.20 * 0.0025) = 66.231165
|
||||
total_profit:
|
||||
equations:
|
||||
1x, 3x : close_value - open_value
|
||||
-1x,-3x: open_value - close_value
|
||||
2.1 quote
|
||||
binance,kraken 1x: 62.8425 - 60.15 = 2.6925
|
||||
binance 3x: 62.84166667 - 60.15 = 2.69166667
|
||||
kraken 3x: 62.8025 - 60.15 = 2.6525
|
||||
binance -1x,-3x: 59.850 - 63.15881578125 = -3.308815781249997
|
||||
kraken -1x,-3x: 59.850 - 63.2206575 = -3.3706575
|
||||
1.9 quote
|
||||
binance,kraken 1x: 56.8575 - 60.15 = -3.2925
|
||||
binance 3x: 56.85666667 - 60.15 = -3.29333333
|
||||
kraken 3x: 56.8175 - 60.15 = -3.3325
|
||||
binance -1x,-3x: 59.850 - 57.14369046875 = 2.7063095312499996
|
||||
kraken -1x,-3x: 59.850 - 57.1996425 = 2.6503575
|
||||
2.2 quote
|
||||
binance,kraken 1x: 65.835 - 60.15 = 5.685
|
||||
binance 3x: 65.83416667 - 60.15 = 5.68416667
|
||||
kraken 3x: 65.795 - 60.15 = 5.645
|
||||
binance -1x,-3x: 59.850 - 66.1663784375 = -6.316378437499999
|
||||
kraken -1x,-3x: 59.850 - 66.231165 = -6.381165
|
||||
total_profit_ratio:
|
||||
equations:
|
||||
1x, 3x : ((close_value/open_value) - 1) * leverage
|
||||
-1x,-3x: (1 - (close_value/open_value)) * leverage
|
||||
2.1 quote
|
||||
binance,kraken 1x: (62.8425 / 60.15) - 1 = 0.04476309226932673
|
||||
binance 3x: ((62.84166667 / 60.15) - 1)*3 = 0.13424771421446402
|
||||
kraken 3x: ((62.8025 / 60.15) - 1)*3 = 0.13229426433915248
|
||||
binance -1x: 1 - (63.15881578125 / 59.850) = -0.05528514254385963
|
||||
binance -3x: (1 - (63.15881578125 / 59.850))*3 = -0.1658554276315789
|
||||
kraken -1x: 1 - (63.2206575 / 59.850) = -0.05631842105263152
|
||||
kraken -3x: (1 - (63.2206575 / 59.850))*3 = -0.16895526315789455
|
||||
1.9 quote
|
||||
binance,kraken 1x: (56.8575 / 60.15) - 1 = -0.05473815461346632
|
||||
binance 3x: ((56.85666667 / 60.15) - 1)*3 = -0.16425602643391513
|
||||
kraken 3x: ((56.8175 / 60.15) - 1)*3 = -0.16620947630922667
|
||||
binance -1x: 1 - (57.14369046875 / 59.850) = 0.045218204365079395
|
||||
binance -3x: (1 - (57.14369046875 / 59.850))*3 = 0.13565461309523819
|
||||
kraken -1x: 1 - (57.1996425 / 59.850) = 0.04428333333333334
|
||||
kraken -3x: (1 - (57.1996425 / 59.850))*3 = 0.13285000000000002
|
||||
2.2 quote
|
||||
binance,kraken 1x: (65.835 / 60.15) - 1 = 0.0945137157107232
|
||||
binance 3x: ((65.83416667 / 60.15) - 1)*3 = 0.2834995845386534
|
||||
kraken 3x: ((65.795 / 60.15) - 1)*3 = 0.2815461346633419
|
||||
binance -1x: 1 - (66.1663784375 / 59.850) = -0.1055368159983292
|
||||
binance -3x: (1 - (66.1663784375 / 59.850))*3 = -0.3166104479949876
|
||||
kraken -1x: 1 - (66.231165 / 59.850) = -0.106619298245614
|
||||
kraken -3x: (1 - (66.231165 / 59.850))*3 = -0.319857894736842
|
||||
fee: 0.003, 1x
|
||||
close_value:
|
||||
2.1 quote: (30.00 * 2.1) - (30.00 * 2.1 * 0.003) = 62.811
|
||||
1.9 quote: (30.00 * 1.9) - (30.00 * 1.9 * 0.003) = 56.829
|
||||
2.2 quote: (30.00 * 2.2) - (30.00 * 2.2 * 0.003) = 65.802
|
||||
total_profit
|
||||
fee: 0.003, 1x
|
||||
2.1 quote: 62.811 - 60.15 = 2.6610000000000014
|
||||
1.9 quote: 56.829 - 60.15 = -3.320999999999998
|
||||
2.2 quote: 65.802 - 60.15 = 5.652000000000008
|
||||
total_profit_ratio
|
||||
fee: 0.003, 1x
|
||||
2.1 quote: (62.811 / 60.15) - 1 = 0.04423940149625927
|
||||
1.9 quote: (56.829 / 60.15) - 1 = -0.05521197007481293
|
||||
2.2 quote: (65.802 / 60.15) - 1 = 0.09396508728179565
|
||||
"""
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=5,
|
||||
open_rate=0.00001099,
|
||||
pair='ADA/USDT',
|
||||
stake_amount=60.0,
|
||||
amount=30.0,
|
||||
open_rate=2.0,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(limit_buy_order) # Buy @ 0.00001099
|
||||
trade.update(limit_buy_order_usdt) # Buy @ 2.0
|
||||
|
||||
# Custom closing rate and regular fee rate
|
||||
# Higher than open rate
|
||||
assert trade.calc_profit(rate=0.00001234) == 0.00011753
|
||||
# Lower than open rate
|
||||
assert trade.calc_profit(rate=0.00000123) == -0.00089086
|
||||
# Higher than open rate - 2.1 quote
|
||||
assert trade.calc_profit(rate=2.1) == 2.6925
|
||||
# Lower than open rate - 1.9 quote
|
||||
assert trade.calc_profit(rate=1.9) == round(-3.292499999999997, 8)
|
||||
|
||||
# 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
|
||||
# fee 0.003
|
||||
# Higher than open rate - 2.1 quote
|
||||
assert trade.calc_profit(rate=2.1, fee=0.003) == 2.661
|
||||
# Lower than open rate - 1.9 quote
|
||||
assert trade.calc_profit(rate=1.9, fee=0.003) == round(-3.320999999999998, 8)
|
||||
|
||||
# Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
|
||||
trade.update(limit_sell_order)
|
||||
assert trade.calc_profit() == 0.00006217
|
||||
# Test when we apply a Sell order. Sell higher than open rate @ 2.2
|
||||
trade.update(limit_sell_order_usdt)
|
||||
assert trade.calc_profit() == round(5.684999999999995, 8)
|
||||
|
||||
# Test with a custom fee rate on the close trade
|
||||
assert trade.calc_profit(fee=0.003) == 0.00006163
|
||||
assert trade.calc_profit(fee=0.003) == round(5.652000000000008, 8)
|
||||
|
||||
|
||||
@pytest.mark.usefixtures("init_persistence")
|
||||
def test_calc_profit_ratio(limit_buy_order, limit_sell_order, fee):
|
||||
def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=5,
|
||||
open_rate=0.00001099,
|
||||
pair='ADA/USDT',
|
||||
stake_amount=60.0,
|
||||
amount=30.0,
|
||||
open_rate=2.0,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
exchange='binance'
|
||||
)
|
||||
trade.open_order_id = 'something'
|
||||
trade.update(limit_buy_order) # Buy @ 0.00001099
|
||||
trade.update(limit_buy_order_usdt) # Buy @ 2.0
|
||||
|
||||
# Get percent of profit with a custom rate (Higher than open rate)
|
||||
assert trade.calc_profit_ratio(rate=0.00001234) == 0.11723875
|
||||
# Higher than open rate - 2.1 quote
|
||||
assert trade.calc_profit_ratio(rate=2.1) == round(0.04476309226932673, 8)
|
||||
# Lower than open rate - 1.9 quote
|
||||
assert trade.calc_profit_ratio(rate=1.9) == round(-0.05473815461346632, 8)
|
||||
|
||||
# Get percent of profit with a custom rate (Lower than open rate)
|
||||
assert trade.calc_profit_ratio(rate=0.00000123) == -0.88863828
|
||||
# fee 0.003
|
||||
# Higher than open rate - 2.1 quote
|
||||
assert trade.calc_profit_ratio(rate=2.1, fee=0.003) == round(0.04423940149625927, 8)
|
||||
# Lower than open rate - 1.9 quote
|
||||
assert trade.calc_profit_ratio(rate=1.9, fee=0.003) == round(-0.05521197007481293, 8)
|
||||
|
||||
# Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
|
||||
trade.update(limit_sell_order)
|
||||
assert trade.calc_profit_ratio() == 0.06201058
|
||||
# Test when we apply a Sell order. Sell higher than open rate @ 2.2
|
||||
trade.update(limit_sell_order_usdt)
|
||||
assert trade.calc_profit_ratio() == round(0.0945137157107232, 8)
|
||||
|
||||
# Test with a custom fee rate on the close trade
|
||||
assert trade.calc_profit_ratio(fee=0.003) == 0.06147824
|
||||
assert trade.calc_profit_ratio(fee=0.003) == round(0.09396508728179565, 8)
|
||||
|
||||
trade.open_trade_value = 0.0
|
||||
assert trade.calc_profit_ratio(fee=0.003) == 0.0
|
||||
@ -397,7 +540,7 @@ def test_clean_dry_run_db(default_conf, fee):
|
||||
|
||||
# Simulate dry_run entries
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
pair='ADA/USDT',
|
||||
stake_amount=0.001,
|
||||
amount=123.0,
|
||||
fee_open=fee.return_value,
|
||||
@ -664,9 +807,9 @@ def test_migrate_mid_state(mocker, default_conf, fee, caplog):
|
||||
|
||||
def test_adjust_stop_loss(fee):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=5,
|
||||
pair='ADA/USDT',
|
||||
stake_amount=30.0,
|
||||
amount=30,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
@ -716,9 +859,9 @@ def test_adjust_stop_loss(fee):
|
||||
|
||||
def test_adjust_min_max_rates(fee):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
amount=5,
|
||||
pair='ADA/USDT',
|
||||
stake_amount=30.0,
|
||||
amount=30.0,
|
||||
fee_open=fee.return_value,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
@ -897,11 +1040,11 @@ def test_to_json(default_conf, fee):
|
||||
def test_stoploss_reinitialization(default_conf, fee):
|
||||
init_db(default_conf['db_url'])
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
pair='ADA/USDT',
|
||||
stake_amount=30.0,
|
||||
fee_open=fee.return_value,
|
||||
open_date=arrow.utcnow().shift(hours=-2).datetime,
|
||||
amount=10,
|
||||
amount=30.0,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
open_rate=1,
|
||||
@ -956,11 +1099,11 @@ def test_stoploss_reinitialization(default_conf, fee):
|
||||
|
||||
def test_update_fee(fee):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
pair='ADA/USDT',
|
||||
stake_amount=30.0,
|
||||
fee_open=fee.return_value,
|
||||
open_date=arrow.utcnow().shift(hours=-2).datetime,
|
||||
amount=10,
|
||||
amount=30.0,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
open_rate=1,
|
||||
@ -995,11 +1138,11 @@ def test_update_fee(fee):
|
||||
|
||||
def test_fee_updated(fee):
|
||||
trade = Trade(
|
||||
pair='ETH/BTC',
|
||||
stake_amount=0.001,
|
||||
pair='ADA/USDT',
|
||||
stake_amount=30.0,
|
||||
fee_open=fee.return_value,
|
||||
open_date=arrow.utcnow().shift(hours=-2).datetime,
|
||||
amount=10,
|
||||
amount=30.0,
|
||||
fee_close=fee.return_value,
|
||||
exchange='binance',
|
||||
open_rate=1,
|
||||
|
||||
Loading…
Reference in New Issue
Block a user