From 8e941e683643d63c40ed7cf53f4ef3a98c0ba291 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 6 Aug 2021 01:15:18 -0600 Subject: [PATCH 1/3] Changed interest implementation --- freqtrade/enums/__init__.py | 1 - freqtrade/enums/interestmode.py | 28 ------ freqtrade/leverage/__init__.py | 1 + freqtrade/leverage/interest.py | 43 ++++++++ freqtrade/persistence/migrations.py | 6 +- freqtrade/persistence/models.py | 11 +-- tests/conftest_trades.py | 7 +- tests/leverage/test_leverage.py | 26 +++++ tests/test_persistence.py | 148 +++++++++++++--------------- 9 files changed, 148 insertions(+), 123 deletions(-) delete mode 100644 freqtrade/enums/interestmode.py create mode 100644 freqtrade/leverage/interest.py create mode 100644 tests/leverage/test_leverage.py diff --git a/freqtrade/enums/__init__.py b/freqtrade/enums/__init__.py index ef73dd82a..692a7fcb6 100644 --- a/freqtrade/enums/__init__.py +++ b/freqtrade/enums/__init__.py @@ -1,7 +1,6 @@ # flake8: noqa: F401 from freqtrade.enums.backteststate import BacktestState from freqtrade.enums.collateral import Collateral -from freqtrade.enums.interestmode import InterestMode from freqtrade.enums.rpcmessagetype import RPCMessageType from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode from freqtrade.enums.selltype import SellType diff --git a/freqtrade/enums/interestmode.py b/freqtrade/enums/interestmode.py deleted file mode 100644 index 89c71a8b4..000000000 --- a/freqtrade/enums/interestmode.py +++ /dev/null @@ -1,28 +0,0 @@ -from decimal import Decimal -from enum import Enum -from math import ceil - -from freqtrade.exceptions import OperationalException - - -one = Decimal(1.0) -four = Decimal(4.0) -twenty_four = Decimal(24.0) - - -class InterestMode(Enum): - """Equations to calculate interest""" - - HOURSPERDAY = "HOURSPERDAY" - HOURSPER4 = "HOURSPER4" # Hours per 4 hour segment - NONE = "NONE" - - def __call__(self, borrowed: Decimal, rate: Decimal, hours: Decimal): - - if self.name == "HOURSPERDAY": - return borrowed * rate * ceil(hours)/twenty_four - elif self.name == "HOURSPER4": - # Rounded based on https://kraken-fees-calculator.github.io/ - return borrowed * rate * (1+ceil(hours/four)) - else: - raise OperationalException("Leverage not available on this exchange with freqtrade") diff --git a/freqtrade/leverage/__init__.py b/freqtrade/leverage/__init__.py index 9186b160e..ae78f4722 100644 --- a/freqtrade/leverage/__init__.py +++ b/freqtrade/leverage/__init__.py @@ -1 +1,2 @@ # flake8: noqa: F401 +from freqtrade.leverage.interest import interest diff --git a/freqtrade/leverage/interest.py b/freqtrade/leverage/interest.py new file mode 100644 index 000000000..b8bc47887 --- /dev/null +++ b/freqtrade/leverage/interest.py @@ -0,0 +1,43 @@ +from decimal import Decimal +from math import ceil + +from freqtrade.exceptions import OperationalException + + +one = Decimal(1.0) +four = Decimal(4.0) +twenty_four = Decimal(24.0) + + +def interest( + exchange_name: str, + borrowed: Decimal, + rate: Decimal, + hours: Decimal +) -> Decimal: + """Equation to calculate interest on margin trades + + + :param exchange_name: The exchanged being trading on + :param borrowed: The amount of currency being borrowed + :param rate: The rate of interest + :param hours: The time in hours that the currency has been borrowed for + + Raises: + OperationalException: Raised if freqtrade does + not support margin trading for this exchange + + Returns: The amount of interest owed (currency matches borrowed) + + """ + exchange_name = exchange_name.lower() + if exchange_name == "binance": + return borrowed * rate * ceil(hours)/twenty_four + elif exchange_name == "kraken": + # Rounded based on https://kraken-fees-calculator.github.io/ + return borrowed * rate * (one+ceil(hours/four)) + elif exchange_name == "ftx": + # TODO-lev: Add FTX interest formula + raise OperationalException(f"Leverage not available on {exchange_name} with freqtrade") + else: + raise OperationalException(f"Leverage not available on {exchange_name} with freqtrade") diff --git a/freqtrade/persistence/migrations.py b/freqtrade/persistence/migrations.py index 03f412724..cc33be87c 100644 --- a/freqtrade/persistence/migrations.py +++ b/freqtrade/persistence/migrations.py @@ -54,7 +54,6 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col isolated_liq = get_column_def(cols, 'isolated_liq', 'null') # sqlite does not support literals for booleans is_short = get_column_def(cols, 'is_short', '0') - interest_mode = get_column_def(cols, 'interest_mode', 'null') # If ticker-interval existed use that, else null. if has_column(cols, 'ticker_interval'): timeframe = get_column_def(cols, 'timeframe', 'ticker_interval') @@ -92,7 +91,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col stoploss_order_id, stoploss_last_update, max_rate, min_rate, sell_reason, sell_order_status, strategy, buy_tag, timeframe, open_trade_value, close_profit_abs, - leverage, interest_rate, isolated_liq, is_short, interest_mode + leverage, interest_rate, isolated_liq, is_short ) select id, lower(exchange), pair, is_open, {fee_open} fee_open, {fee_open_cost} fee_open_cost, @@ -110,8 +109,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col {strategy} strategy, {buy_tag} buy_tag, {timeframe} timeframe, {open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs, {leverage} leverage, {interest_rate} interest_rate, - {isolated_liq} isolated_liq, {is_short} is_short, - {interest_mode} interest_mode + {isolated_liq} isolated_liq, {is_short} is_short from {table_back_name} """)) diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index d09c5ed68..0a9edb267 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -6,7 +6,7 @@ from datetime import datetime, timezone from decimal import Decimal from typing import Any, Dict, List, Optional -from sqlalchemy import (Boolean, Column, DateTime, Enum, Float, ForeignKey, Integer, String, +from sqlalchemy import (Boolean, Column, DateTime, Float, ForeignKey, Integer, String, create_engine, desc, func, inspect) from sqlalchemy.exc import NoSuchModuleError from sqlalchemy.orm import Query, declarative_base, relationship, scoped_session, sessionmaker @@ -14,8 +14,9 @@ from sqlalchemy.pool import StaticPool from sqlalchemy.sql.schema import UniqueConstraint from freqtrade.constants import DATETIME_PRINT_FORMAT -from freqtrade.enums import InterestMode, SellType +from freqtrade.enums import SellType from freqtrade.exceptions import DependencyException, OperationalException +from freqtrade.leverage import interest from freqtrade.misc import safe_value_fallback from freqtrade.persistence.migrations import check_migrate @@ -236,7 +237,7 @@ class LocalTrade(): close_rate_requested: Optional[float] = None close_profit: Optional[float] = None close_profit_abs: Optional[float] = None - stake_amount: float = 0.0 # TODO: This should probably be computed + stake_amount: float = 0.0 amount: float = 0.0 amount_requested: Optional[float] = None open_date: datetime @@ -269,7 +270,6 @@ class LocalTrade(): isolated_liq: Optional[float] = None is_short: bool = False leverage: float = 1.0 - interest_mode: InterestMode = InterestMode.NONE @property def has_no_leverage(self) -> bool: @@ -650,7 +650,7 @@ class LocalTrade(): rate = Decimal(interest_rate or self.interest_rate) borrowed = Decimal(self.borrowed) - return self.interest_mode(borrowed=borrowed, rate=rate, hours=hours) + return interest(exchange_name=self.exchange, borrowed=borrowed, rate=rate, hours=hours) def calc_close_trade_value(self, rate: Optional[float] = None, fee: Optional[float] = None, @@ -894,7 +894,6 @@ class Trade(_DECL_BASE, LocalTrade): interest_rate = Column(Float, nullable=False, default=0.0) isolated_liq = Column(Float, nullable=True) is_short = Column(Boolean, nullable=False, default=False) - interest_mode = Column(Enum(InterestMode), nullable=True) # End of margin trading properties def __init__(self, **kwargs): diff --git a/tests/conftest_trades.py b/tests/conftest_trades.py index cad6d195c..faba18371 100644 --- a/tests/conftest_trades.py +++ b/tests/conftest_trades.py @@ -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) diff --git a/tests/leverage/test_leverage.py b/tests/leverage/test_leverage.py new file mode 100644 index 000000000..072c08b63 --- /dev/null +++ b/tests/leverage/test_leverage.py @@ -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 diff --git a/tests/test_persistence.py b/tests/test_persistence.py index 16469f6fc..836dd29df 100644 --- a/tests/test_persistence.py +++ b/tests/test_persistence.py @@ -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 From 06206335d95e7f5f9786e27946bd075ef8fc624e Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Mon, 9 Aug 2021 00:00:50 -0600 Subject: [PATCH 2/3] Added tests for interest_function --- freqtrade/leverage/interest.py | 21 +++++---- tests/leverage/test_leverage.py | 75 +++++++++++++++++++++++++-------- 2 files changed, 67 insertions(+), 29 deletions(-) diff --git a/freqtrade/leverage/interest.py b/freqtrade/leverage/interest.py index b8bc47887..aacbb3532 100644 --- a/freqtrade/leverage/interest.py +++ b/freqtrade/leverage/interest.py @@ -15,20 +15,19 @@ def interest( rate: Decimal, hours: Decimal ) -> Decimal: - """Equation to calculate interest on margin trades + """ + Equation to calculate interest on margin trades + :param exchange_name: The exchanged being trading on + :param borrowed: The amount of currency being borrowed + :param rate: The rate of interest + :param hours: The time in hours that the currency has been borrowed for - :param exchange_name: The exchanged being trading on - :param borrowed: The amount of currency being borrowed - :param rate: The rate of interest - :param hours: The time in hours that the currency has been borrowed for - - Raises: - OperationalException: Raised if freqtrade does - not support margin trading for this exchange - - Returns: The amount of interest owed (currency matches borrowed) + Raises: + OperationalException: Raised if freqtrade does + not support margin trading for this exchange + Returns: The amount of interest owed (currency matches borrowed) """ exchange_name = exchange_name.lower() if exchange_name == "binance": diff --git a/tests/leverage/test_leverage.py b/tests/leverage/test_leverage.py index 072c08b63..963051f7d 100644 --- a/tests/leverage/test_leverage.py +++ b/tests/leverage/test_leverage.py @@ -1,26 +1,65 @@ -# from decimal import Decimal +from decimal import Decimal + +from freqtrade.leverage import interest + -# from freqtrade.enums import Collateral, TradingMode -# from freqtrade.leverage import interest # from freqtrade.exceptions import OperationalException -# binance = "binance" -# kraken = "kraken" -# ftx = "ftx" -# other = "bittrex" +binance = "binance" +kraken = "kraken" +ftx = "ftx" +other = "bittrex" def test_interest(): - return + + borrowed = Decimal(60.0) + interest_rate = Decimal(0.0005) + interest_rate_2 = Decimal(0.00025) + ten_mins = Decimal(1/6) + five_hours = Decimal(5.0) + # 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 + assert float(interest( + exchange_name=binance, + borrowed=borrowed, + rate=interest_rate, + hours=ten_mins + )) == 0.00125 - # # 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 + assert float(interest( + exchange_name=binance, + borrowed=borrowed, + rate=interest_rate_2, + hours=five_hours + )) == 0.003125 - # # 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 + # Kraken + assert float(interest( + exchange_name=kraken, + borrowed=borrowed, + rate=interest_rate, + hours=ten_mins + )) == 0.06 + + assert float(interest( + exchange_name=kraken, + borrowed=borrowed, + rate=interest_rate_2, + hours=five_hours + )) == 0.045 + + # FTX + # TODO-lev + # assert float(interest( + # exchange_name=ftx, + # borrowed=borrowed, + # rate=interest_rate, + # hours=ten_mins + # )) == 0.00125 + + # assert float(interest( + # exchange_name=ftx, + # borrowed=borrowed, + # rate=interest_rate_2, + # hours=five_hours + # )) == 0.003125 From 599ae15460eb1ddf39817378a87e310d5e5d6466 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 9 Aug 2021 11:35:27 +0200 Subject: [PATCH 3/3] Parametrize tests --- tests/leverage/test_leverage.py | 82 +++++++++++---------------------- 1 file changed, 27 insertions(+), 55 deletions(-) diff --git a/tests/leverage/test_leverage.py b/tests/leverage/test_leverage.py index 963051f7d..7b7ca0f9b 100644 --- a/tests/leverage/test_leverage.py +++ b/tests/leverage/test_leverage.py @@ -1,65 +1,37 @@ from decimal import Decimal +from math import isclose + +import pytest from freqtrade.leverage import interest -# from freqtrade.exceptions import OperationalException -binance = "binance" -kraken = "kraken" -ftx = "ftx" -other = "bittrex" +ten_mins = Decimal(1/6) +five_hours = Decimal(5.0) +twentyfive_hours = Decimal(25.0) -def test_interest(): - - borrowed = Decimal(60.0) - interest_rate = Decimal(0.0005) - interest_rate_2 = Decimal(0.00025) - ten_mins = Decimal(1/6) - five_hours = Decimal(5.0) - - # Binance - assert float(interest( - exchange_name=binance, - borrowed=borrowed, - rate=interest_rate, - hours=ten_mins - )) == 0.00125 - - assert float(interest( - exchange_name=binance, - borrowed=borrowed, - rate=interest_rate_2, - hours=five_hours - )) == 0.003125 - +@pytest.mark.parametrize('exchange,interest_rate,hours,expected', [ + ('binance', 0.0005, ten_mins, 0.00125), + ('binance', 0.00025, ten_mins, 0.000625), + ('binance', 0.00025, five_hours, 0.003125), + ('binance', 0.00025, twentyfive_hours, 0.015625), # Kraken - assert float(interest( - exchange_name=kraken, - borrowed=borrowed, - rate=interest_rate, - hours=ten_mins - )) == 0.06 - - assert float(interest( - exchange_name=kraken, - borrowed=borrowed, - rate=interest_rate_2, - hours=five_hours - )) == 0.045 - + ('kraken', 0.0005, ten_mins, 0.06), + ('kraken', 0.00025, ten_mins, 0.03), + ('kraken', 0.00025, five_hours, 0.045), + ('kraken', 0.00025, twentyfive_hours, 0.12), # FTX - # TODO-lev - # assert float(interest( - # exchange_name=ftx, - # borrowed=borrowed, - # rate=interest_rate, - # hours=ten_mins - # )) == 0.00125 + # TODO-lev: - implement FTX tests + # ('ftx', Decimal(0.0005), ten_mins, 0.06), + # ('ftx', Decimal(0.0005), five_hours, 0.045), +]) +def test_interest(exchange, interest_rate, hours, expected): + borrowed = Decimal(60.0) - # assert float(interest( - # exchange_name=ftx, - # borrowed=borrowed, - # rate=interest_rate_2, - # hours=five_hours - # )) == 0.003125 + assert isclose(interest( + exchange_name=exchange, + borrowed=borrowed, + rate=Decimal(interest_rate), + hours=hours + ), expected)