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Merge pull request #5381 from samgermain/interest-change

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Changed interest implementation (Margin)
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Matthias 2021-08-09 11:58:08 +02:00 committed by GitHub
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9 changed files with 157 additions and 122 deletions
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1
freqtrade/enums/__init__.py
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@ -1,7 +1,6 @@
# flake8: noqa: F401 # flake8: noqa: F401
from freqtrade.enums.backteststate import BacktestState from freqtrade.enums.backteststate import BacktestState
from freqtrade.enums.collateral import Collateral from freqtrade.enums.collateral import Collateral
from freqtrade.enums.interestmode import InterestMode
from freqtrade.enums.rpcmessagetype import RPCMessageType from freqtrade.enums.rpcmessagetype import RPCMessageType
from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode
from freqtrade.enums.selltype import SellType from freqtrade.enums.selltype import SellType

28
freqtrade/enums/interestmode.py
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@ -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")

1
freqtrade/leverage/__init__.py
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@ -1 +1,2 @@
# flake8: noqa: F401 # flake8: noqa: F401
from freqtrade.leverage.interest import interest

42
freqtrade/leverage/interest.py Normal file
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@ -0,0 +1,42 @@
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")

6
freqtrade/persistence/migrations.py
View File

@ -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') isolated_liq = get_column_def(cols, 'isolated_liq', 'null')
# sqlite does not support literals for booleans # sqlite does not support literals for booleans
is_short = get_column_def(cols, 'is_short', '0') 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 ticker-interval existed use that, else null.
if has_column(cols, 'ticker_interval'): if has_column(cols, 'ticker_interval'):
timeframe = get_column_def(cols, 'timeframe', '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, stoploss_order_id, stoploss_last_update,
max_rate, min_rate, sell_reason, sell_order_status, strategy, buy_tag, max_rate, min_rate, sell_reason, sell_order_status, strategy, buy_tag,
timeframe, open_trade_value, close_profit_abs, 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, select id, lower(exchange), pair,
is_open, {fee_open} fee_open, {fee_open_cost} fee_open_cost, 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, {strategy} strategy, {buy_tag} buy_tag, {timeframe} timeframe,
{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs, {open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs,
{leverage} leverage, {interest_rate} interest_rate, {leverage} leverage, {interest_rate} interest_rate,
{isolated_liq} isolated_liq, {is_short} is_short, {isolated_liq} isolated_liq, {is_short} is_short
{interest_mode} interest_mode
from {table_back_name} from {table_back_name}
""")) """))

11
freqtrade/persistence/models.py
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@ -6,7 +6,7 @@ from datetime import datetime, timezone
from decimal import Decimal from decimal import Decimal
from typing import Any, Dict, List, Optional 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) create_engine, desc, func, inspect)
from sqlalchemy.exc import NoSuchModuleError from sqlalchemy.exc import NoSuchModuleError
from sqlalchemy.orm import Query, declarative_base, relationship, scoped_session, sessionmaker 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 sqlalchemy.sql.schema import UniqueConstraint
from freqtrade.constants import DATETIME_PRINT_FORMAT 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.exceptions import DependencyException, OperationalException
from freqtrade.leverage import interest
from freqtrade.misc import safe_value_fallback from freqtrade.misc import safe_value_fallback
from freqtrade.persistence.migrations import check_migrate from freqtrade.persistence.migrations import check_migrate
@ -236,7 +237,7 @@ class LocalTrade():
close_rate_requested: Optional[float] = None close_rate_requested: Optional[float] = None
close_profit: Optional[float] = None close_profit: Optional[float] = None
close_profit_abs: 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: float = 0.0
amount_requested: Optional[float] = None amount_requested: Optional[float] = None
open_date: datetime open_date: datetime
@ -271,7 +272,6 @@ class LocalTrade():
# Margin trading properties # Margin trading properties
interest_rate: float = 0.0 interest_rate: float = 0.0
interest_mode: InterestMode = InterestMode.NONE
@property @property
def has_no_leverage(self) -> bool: def has_no_leverage(self) -> bool:
@ -654,7 +654,7 @@ class LocalTrade():
rate = Decimal(interest_rate or self.interest_rate) rate = Decimal(interest_rate or self.interest_rate)
borrowed = Decimal(self.borrowed) 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, def calc_close_trade_value(self, rate: Optional[float] = None,
fee: Optional[float] = None, fee: Optional[float] = None,
@ -900,7 +900,6 @@ class Trade(_DECL_BASE, LocalTrade):
# Margin Trading Properties # Margin Trading Properties
interest_rate = Column(Float, nullable=False, default=0.0) interest_rate = Column(Float, nullable=False, default=0.0)
interest_mode = Column(Enum(InterestMode), nullable=True)
def __init__(self, **kwargs): def __init__(self, **kwargs):
super().__init__(**kwargs) super().__init__(**kwargs)

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

37
tests/leverage/test_leverage.py Normal file
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@ -0,0 +1,37 @@
from decimal import Decimal
from math import isclose
import pytest
from freqtrade.leverage import interest
ten_mins = Decimal(1/6)
five_hours = Decimal(5.0)
twentyfive_hours = Decimal(25.0)
@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
('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: - 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 isclose(interest(
exchange_name=exchange,
borrowed=borrowed,
rate=Decimal(interest_rate),
hours=hours
), expected)

146
tests/test_persistence.py
View File

@ -11,7 +11,6 @@ import pytest
from sqlalchemy import create_engine, inspect, text from sqlalchemy import create_engine, inspect, text
from freqtrade import constants from freqtrade import constants
from freqtrade.enums import InterestMode
from freqtrade.exceptions import DependencyException, OperationalException from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.persistence import LocalTrade, Order, Trade, clean_dry_run_db, init_db 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 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.stop_loss = None
trade.initial_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.isolated_liq == 0.09
assert trade.stop_loss == 0.09 assert trade.stop_loss == 0.09
assert trade.initial_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.stop_loss == 0.08
assert trade.initial_stop_loss == 0.09 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.isolated_liq == 0.1
assert trade.stop_loss == 0.08 assert trade.stop_loss == 0.08
assert trade.initial_stop_loss == 0.09 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.isolated_liq == 0.07
assert trade.stop_loss == 0.07 assert trade.stop_loss == 0.07
assert trade.initial_stop_loss == 0.09 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), open_date=datetime.utcnow() - timedelta(hours=0, minutes=10),
fee_open=fee.return_value, fee_open=fee.return_value,
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='kraken', exchange='binance',
leverage=3.0, leverage=3.0,
interest_rate=0.0005, interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
) )
# 10min, 3x leverage # 10min, 3x leverage
# binance # binance
assert round(float(trade.calculate_interest()), 8) == round(0.0008333333333333334, 8) assert round(float(trade.calculate_interest()), 8) == round(0.0008333333333333334, 8)
# kraken # kraken
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.040 assert float(trade.calculate_interest()) == 0.040
# Short # Short
trade.is_short = True trade.is_short = True
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
# binace # binace
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
assert float(trade.calculate_interest()) == 0.000625 assert float(trade.calculate_interest()) == 0.000625
# kraken # kraken
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
assert isclose(float(trade.calculate_interest()), 0.030) assert isclose(float(trade.calculate_interest()), 0.030)
# 5hr, long # 5hr, long
@ -261,40 +259,40 @@ def test_interest(market_buy_order_usdt, fee):
trade.is_short = False trade.is_short = False
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
# binance # binance
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == round(0.004166666666666667, 8) assert round(float(trade.calculate_interest()), 8) == round(0.004166666666666667, 8)
# kraken # kraken
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.06 assert float(trade.calculate_interest()) == 0.06
# short # short
trade.is_short = True trade.is_short = True
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
# binace # binace
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8) assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8)
# kraken # kraken
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.045 assert float(trade.calculate_interest()) == 0.045
# 0.00025 interest, 5hr, long # 0.00025 interest, 5hr, long
trade.is_short = False trade.is_short = False
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
# binance # binance
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
assert round(float(trade.calculate_interest(interest_rate=0.00025)), assert round(float(trade.calculate_interest(interest_rate=0.00025)),
8) == round(0.0020833333333333333, 8) 8) == round(0.0020833333333333333, 8)
# kraken # kraken
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
assert isclose(float(trade.calculate_interest(interest_rate=0.00025)), 0.03) assert isclose(float(trade.calculate_interest(interest_rate=0.00025)), 0.03)
# short # short
trade.is_short = True trade.is_short = True
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
# binace # binace
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
assert round(float(trade.calculate_interest(interest_rate=0.00025)), assert round(float(trade.calculate_interest(interest_rate=0.00025)),
8) == round(0.0015624999999999999, 8) 8) == round(0.0015624999999999999, 8)
# kraken # kraken
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
assert float(trade.calculate_interest(interest_rate=0.00025)) == 0.0225 assert float(trade.calculate_interest(interest_rate=0.00025)) == 0.0225
# 5x leverage, 0.0005 interest, 5hr, long # 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.recalc_open_trade_value()
trade.leverage = 5.0 trade.leverage = 5.0
# binance # binance
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == 0.005 assert round(float(trade.calculate_interest()), 8) == 0.005
# kraken # kraken
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
assert float(trade.calculate_interest()) == round(0.07200000000000001, 8) assert float(trade.calculate_interest()) == round(0.07200000000000001, 8)
# short # short
trade.is_short = True trade.is_short = True
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
# binace # binace
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8) assert round(float(trade.calculate_interest()), 8) == round(0.0031249999999999997, 8)
# kraken # kraken
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.045 assert float(trade.calculate_interest()) == 0.045
# 1x leverage, 0.0005 interest, 5hr # 1x leverage, 0.0005 interest, 5hr
@ -322,19 +320,19 @@ def test_interest(market_buy_order_usdt, fee):
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
trade.leverage = 1.0 trade.leverage = 1.0
# binance # binance
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
assert float(trade.calculate_interest()) == 0.0 assert float(trade.calculate_interest()) == 0.0
# kraken # kraken
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.0 assert float(trade.calculate_interest()) == 0.0
# short # short
trade.is_short = True trade.is_short = True
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
# binace # binace
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
assert float(trade.calculate_interest()) == 0.003125 assert float(trade.calculate_interest()) == 0.003125
# kraken # kraken
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
assert float(trade.calculate_interest()) == 0.045 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, open_date=arrow.utcnow().datetime,
fee_open=fee.return_value, fee_open=fee.return_value,
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='binance', exchange='binance'
) )
assert trade.open_order_id is None assert trade.open_order_id is None
assert trade.close_profit 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, is_short=True,
leverage=3.0, leverage=3.0,
interest_rate=0.0005, interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
) )
trade.open_order_id = 'something' trade.open_order_id = 'something'
trade.update(limit_sell_order_usdt) 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, amount=30.0,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10), open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
interest_rate=0.0005, interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY,
fee_open=fee.return_value, fee_open=fee.return_value,
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='binance', 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) assert trade.calc_profit_ratio() == round(0.0945137157107232, 8)
# 3x leverage, binance # 3x leverage, binance
trade.leverage = 3 trade.leverage = 3
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
assert trade._calc_open_trade_value() == 60.15 assert trade._calc_open_trade_value() == 60.15
assert round(trade.calc_close_trade_value(), 8) == 65.83416667 assert round(trade.calc_close_trade_value(), 8) == 65.83416667
assert trade.calc_profit() == round(5.684166670000003, 8) assert trade.calc_profit() == round(5.684166670000003, 8)
assert trade.calc_profit_ratio() == round(0.2834995845386534, 8) assert trade.calc_profit_ratio() == round(0.2834995845386534, 8)
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
# 3x leverage, kraken # 3x leverage, kraken
assert trade._calc_open_trade_value() == 60.15 assert trade._calc_open_trade_value() == 60.15
assert trade.calc_close_trade_value() == 65.795 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_close_trade_value() == 66.231165
assert trade.calc_profit() == round(-6.381165000000003, 8) assert trade.calc_profit() == round(-6.381165000000003, 8)
assert trade.calc_profit_ratio() == round(-0.319857894736842, 8) assert trade.calc_profit_ratio() == round(-0.319857894736842, 8)
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
# 3x leverage, short, binance # 3x leverage, short, binance
assert trade._calc_open_trade_value() == 59.85 assert trade._calc_open_trade_value() == 59.85
assert trade.calc_close_trade_value() == 66.1663784375 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() == round(-6.316378437500013, 8)
assert trade.calc_profit_ratio() == round(-0.1055368159983292, 8) assert trade.calc_profit_ratio() == round(-0.1055368159983292, 8)
# 1x leverage, short, kraken # 1x leverage, short, kraken
trade.interest_mode = InterestMode.HOURSPER4 trade.exchange = "kraken"
assert trade._calc_open_trade_value() == 59.850 assert trade._calc_open_trade_value() == 59.850
assert trade.calc_close_trade_value() == 66.231165 assert trade.calc_close_trade_value() == 66.231165
assert trade.calc_profit() == -6.381165 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, fee_close=fee.return_value,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10), open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
interest_rate=0.0005, interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY,
exchange='binance', exchange='binance',
) )
assert trade.close_profit is None 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() trade.recalc_open_trade_value()
assert trade._calc_open_trade_value() == 59.85 assert trade._calc_open_trade_value() == 59.85
trade.leverage = 3 trade.leverage = 3
trade.interest_mode = InterestMode.HOURSPERDAY trade.exchange = "binance"
assert trade._calc_open_trade_value() == 59.85 assert trade._calc_open_trade_value() == 59.85
trade.is_short = False trade.is_short = False
trade.recalc_open_trade_value() 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, fee_close=fee.return_value,
exchange='binance', exchange='binance',
interest_rate=0.0005, interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY
) )
trade.open_order_id = 'close_trade' trade.open_order_id = 'close_trade'
trade.update(limit_buy_order_usdt) 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 assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 74.77416667
# 3x leverage kraken # 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) == 74.7725
assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 74.735 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 assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 75.300225
# 3x leverage binance, short # 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), 8) == 75.18906641
assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 75.22656719 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 assert round(trade.calc_close_trade_value(rate=2.5, fee=0.003), 8) == 75.22656719
# 1x leverage kraken, short # 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 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 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_rate=2.0,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10), open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
interest_rate=0.0005, interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY,
fee_open=fee.return_value, fee_open=fee.return_value,
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='binance' exchange='binance'
@ -1047,62 +1040,62 @@ def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
# 3x leverage, long ################################################### # 3x leverage, long ###################################################
trade.leverage = 3.0 trade.leverage = 3.0
# Higher than open rate - 2.1 quote # 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 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 assert trade.calc_profit(rate=2.1, fee=0.0025) == 2.6525
# 1.9 quote # 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 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 assert trade.calc_profit(rate=1.9, fee=0.0025) == -3.3325
# 2.2 quote # 2.2 quote
trade.interest_mode = InterestMode.HOURSPERDAY # binance trade.exchange = "binance" # binance
assert trade.calc_profit(fee=0.0025) == 5.68416667 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 assert trade.calc_profit(fee=0.0025) == 5.645
# 3x leverage, short ################################################### # 3x leverage, short ###################################################
trade.is_short = True trade.is_short = True
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
# 2.1 quote - Higher than open rate # 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) 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 assert trade.calc_profit(rate=2.1, fee=0.0025) == -3.3706575
# 1.9 quote - Lower than open rate # 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) 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 assert trade.calc_profit(rate=1.9, fee=0.0025) == 2.6503575
# Test when we apply a Sell order. Uses sell order used above # 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) 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 assert trade.calc_profit(fee=0.0025) == -6.381165
# 1x leverage, short ################################################### # 1x leverage, short ###################################################
trade.leverage = 1.0 trade.leverage = 1.0
# 2.1 quote - Higher than open rate # 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) 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 assert trade.calc_profit(rate=2.1, fee=0.0025) == -3.3706575
# 1.9 quote - Lower than open rate # 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) 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 assert trade.calc_profit(rate=1.9, fee=0.0025) == 2.6503575
# Test when we apply a Sell order. Uses sell order used above # 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) 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 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_rate=2.0,
open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10), open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=10),
interest_rate=0.0005, interest_rate=0.0005,
interest_mode=InterestMode.HOURSPERDAY,
fee_open=fee.return_value, fee_open=fee.return_value,
fee_close=fee.return_value, fee_close=fee.return_value,
exchange='binance' exchange='binance'
@ -1150,62 +1142,62 @@ def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee):
# 3x leverage, long ################################################### # 3x leverage, long ###################################################
trade.leverage = 3.0 trade.leverage = 3.0
# 2.1 quote - Higher than open rate # 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) 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) assert trade.calc_profit_ratio(rate=2.1) == round(0.13229426433915248, 8)
# 1.9 quote - Lower than open rate # 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) 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) assert trade.calc_profit_ratio(rate=1.9) == round(-0.16620947630922667, 8)
# Test when we apply a Sell order. Uses sell order used above # 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) 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) assert trade.calc_profit_ratio() == round(0.2815461346633419, 8)
# 3x leverage, short ################################################### # 3x leverage, short ###################################################
trade.is_short = True trade.is_short = True
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
# 2.1 quote - Higher than open rate # 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) 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) assert trade.calc_profit_ratio(rate=2.1) == round(-0.16895526315789455, 8)
# 1.9 quote - Lower than open rate # 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) 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) assert trade.calc_profit_ratio(rate=1.9) == round(0.13285000000000002, 8)
# Test when we apply a Sell order. Uses sell order used above # 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) 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) assert trade.calc_profit_ratio() == round(-0.319857894736842, 8)
# 1x leverage, short ################################################### # 1x leverage, short ###################################################
trade.leverage = 1.0 trade.leverage = 1.0
# 2.1 quote - Higher than open rate # 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) 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) assert trade.calc_profit_ratio(rate=2.1) == round(-0.05631842105263152, 8)
# 1.9 quote - Lower than open rate # 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) 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) assert trade.calc_profit_ratio(rate=1.9) == round(0.04428333333333334, 8)
# Test when we apply a Sell order. Uses sell order used above # 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) 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) assert trade.calc_profit_ratio() == round(-0.106619298245614, 8)
@ -1542,7 +1534,6 @@ def test_adjust_stop_loss_short(fee):
open_rate=1, open_rate=1,
max_rate=1, max_rate=1,
is_short=True, is_short=True,
interest_mode=InterestMode.HOURSPERDAY
) )
trade.adjust_stop_loss(trade.open_rate, 0.05, True) trade.adjust_stop_loss(trade.open_rate, 0.05, True)
assert trade.stop_loss == 1.05 assert trade.stop_loss == 1.05
@ -1859,7 +1850,6 @@ def test_stoploss_reinitialization_short(default_conf, fee):
max_rate=1, max_rate=1,
is_short=True, is_short=True,
leverage=3.0, leverage=3.0,
interest_mode=InterestMode.HOURSPERDAY
) )
trade.adjust_stop_loss(trade.open_rate, -0.05, True) trade.adjust_stop_loss(trade.open_rate, -0.05, True)
assert trade.stop_loss == 1.05 assert trade.stop_loss == 1.05