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Adding templates for leverage/short tests

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This commit is contained in:
Sam Germain 2021-06-21 21:26:31 -06:00
parent 8f944283da
commit a9bd0700ed
6 changed files with 168 additions and 30 deletions
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27
TODO
View File

@ -12,6 +12,33 @@ Files to edit
Tests
tests/test_persistence.pys
init with
lev & bor
lev
bor
neither lev nor bor
adjust_stop_loss
short
leverage
is_opening_trade
short
long
shortBuy
longSell
is_closing_trade
short
long
shortBuy
longSell
update, close, update fee
possible to test?
calc_profit
* * create a few shorts, a few leveraged longs test correct ratio
calc_profit_ratio
* create a few shorts, a few leveraged longs test correct ratio
get_open_trades
* create a short, check if exists
tests/test_freqtradebot.py
later

13
freqtrade/persistence/migrations.py
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@ -47,7 +47,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
min_rate = get_column_def(cols, 'min_rate', 'null')
sell_reason = get_column_def(cols, 'sell_reason', 'null')
strategy = get_column_def(cols, 'strategy', 'null')
leverage = get_column_def(cols, 'leverage', '0.0')
borrowed = get_column_def(cols, 'borrowed', '0.0')
borrowed_currency = get_column_def(cols, 'borrowed_currency', 'null')
@ -66,7 +66,8 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
close_profit_abs = get_column_def(
cols, 'close_profit_abs',
f"(amount * close_rate * (1 - {fee_close})) - {open_trade_value}")
close_order_status = get_column_def(cols, 'close_order_status', 'null')
# TODO-mg: update to exit order status
sell_order_status = get_column_def(cols, 'sell_order_status', 'null')
amount_requested = get_column_def(cols, 'amount_requested', 'amount')
# Schema migration necessary
@ -88,7 +89,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
stake_amount, amount, amount_requested, open_date, close_date, open_order_id,
stop_loss, stop_loss_pct, initial_stop_loss, initial_stop_loss_pct,
stoploss_order_id, stoploss_last_update,
max_rate, min_rate, sell_reason, close_order_status, strategy,
max_rate, min_rate, sell_reason, sell_order_status, strategy,
timeframe, open_trade_value, close_profit_abs,
leverage, borrowed, borrowed_currency, collateral_currency, interest_rate, liquidation_price, is_short
)
@ -111,7 +112,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
{initial_stop_loss_pct} initial_stop_loss_pct,
{stoploss_order_id} stoploss_order_id, {stoploss_last_update} stoploss_last_update,
{max_rate} max_rate, {min_rate} min_rate, {sell_reason} sell_reason,
{close_order_status} close_order_status,
{sell_order_status} sell_order_status,
{strategy} strategy, {timeframe} timeframe,
{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs,
{leverage} leverage, {borrowed} borrowed, {borrowed_currency} borrowed_currency,
@ -120,7 +121,9 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
from {table_back_name}
"""))
#TODO: Does leverage go in here?
# TODO: Does leverage go in here?
def migrate_open_orders_to_trades(engine):
with engine.begin() as connection:
connection.execute(text("""

23
freqtrade/persistence/models.py
View File

@ -258,7 +258,7 @@ class LocalTrade():
# Lowest price reached
min_rate: float = 0.0
sell_reason: str = ''
close_order_status: str = ''
sell_order_status: str = ''
strategy: str = ''
timeframe: Optional[int] = None
@ -348,7 +348,7 @@ class LocalTrade():
'profit_abs': self.close_profit_abs,
'sell_reason': self.sell_reason,
'close_order_status': self.close_order_status,
'sell_order_status': self.sell_order_status,
'stop_loss_abs': self.stop_loss,
'stop_loss_ratio': self.stop_loss_pct if self.stop_loss_pct else None,
'stop_loss_pct': (self.stop_loss_pct * 100) if self.stop_loss_pct else None,
@ -502,7 +502,7 @@ class LocalTrade():
self.close_profit = self.calc_profit_ratio()
self.close_profit_abs = self.calc_profit()
self.is_open = False
self.close_order_status = 'closed'
self.sell_order_status = 'closed'
self.open_order_id = None
if show_msg:
logger.info(
@ -576,8 +576,10 @@ class LocalTrade():
close_trade = Decimal(self.amount) * Decimal(rate or self.close_rate) # type: ignore
fees = close_trade * Decimal(fee or self.fee_close)
#TODO: Interest rate could be hourly instead of daily
interest = ((Decimal(self.interest_rate) * Decimal(self.borrowed)) * Decimal((datetime.utcnow() - self.open_date).days)) or 0 # Interest/day * num of days
# TODO: This interest rate is bad, doesn't get fractions of days
interest = ((Decimal(self.interest_rate) * Decimal(self.borrowed)) *
Decimal((datetime.utcnow() - self.open_date).days)) or 0 # Interest/day * num of days
if (self.is_short):
return float(close_trade + fees + interest)
else:
@ -622,7 +624,10 @@ class LocalTrade():
if self.is_short:
profit_ratio = (close_trade_value / self.open_trade_value) - 1
else:
profit_ratio = (self.open_trade_value / close_trade_value) - 1
if close_trade_value == 0:
profit_ratio = 0
else:
profit_ratio = (self.open_trade_value / close_trade_value) - 1
return float(f"{profit_ratio:.8f}")
def select_order(self, order_side: str, is_open: Optional[bool]) -> Optional[Order]:
@ -672,7 +677,7 @@ class LocalTrade():
sel_trades = [trade for trade in sel_trades if trade.close_date
and trade.close_date > close_date]
return sel_trades
return sel_trades
@staticmethod
def close_bt_trade(trade):
@ -768,8 +773,8 @@ class Trade(_DECL_BASE, LocalTrade):
max_rate = Column(Float, nullable=True, default=0.0)
# Lowest price reached
min_rate = Column(Float, nullable=True)
sell_reason = Column(String(100), nullable=True) #TODO: Change to close_reason
close_order_status = Column(String(100), nullable=True)
sell_reason = Column(String(100), nullable=True) # TODO: Change to close_reason
sell_order_status = Column(String(100), nullable=True)
strategy = Column(String(100), nullable=True)
timeframe = Column(Integer, nullable=True)

123
tests/conftest.py
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@ -221,6 +221,8 @@ def create_mock_trades(fee, use_db: bool = True):
trade = mock_trade_6(fee)
add_trade(trade)
# TODO-mg: Add margin trades
if use_db:
Trade.query.session.flush()
@ -250,6 +252,7 @@ def patch_coingekko(mocker) -> None:
@pytest.fixture(scope='function')
def init_persistence(default_conf):
init_db(default_conf['db_url'], default_conf['dry_run'])
# TODO-mg: margin with leverage and/or borrowed?
@pytest.fixture(scope="function")
@ -812,7 +815,7 @@ def shitcoinmarkets(markets):
"future": False,
"active": True
},
})
})
return shitmarkets
@ -914,18 +917,17 @@ def limit_sell_order_old():
@pytest.fixture
def limit_buy_order_old_partial():
return {
'id': 'mocked_limit_buy_old_partial',
'type': 'limit',
'side': 'buy',
'symbol': 'ETH/BTC',
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
'price': 0.00001099,
'amount': 90.99181073,
'filled': 23.0,
'remaining': 67.99181073,
'status': 'open'
}
return {'id': 'mocked_limit_buy_old_partial',
'type': 'limit',
'side': 'buy',
'symbol': 'ETH/BTC',
'datetime': arrow.utcnow().shift(minutes=-601).isoformat(),
'price': 0.00001099,
'amount': 90.99181073,
'filled': 23.0,
'remaining': 67.99181073,
'status': 'open'
}
@pytest.fixture
@ -1728,13 +1730,14 @@ def rpc_balance():
'total': 0.1,
'free': 0.01,
'used': 0.0
},
},
'EUR': {
'total': 10.0,
'free': 10.0,
'used': 0.0
},
}
# TODO-mg: Add shorts and leverage?
@pytest.fixture
@ -2049,3 +2052,95 @@ def saved_hyperopt_results():
].total_seconds()
return hyperopt_res
# * Margin Tests
@pytest.fixture
def leveraged_fee():
return
@pytest.fixture
def short_fee():
return
@pytest.fixture
def ticker_short():
return
@pytest.fixture
def ticker_exit_short_up():
return
@pytest.fixture
def ticker_exit_short_down():
return
@pytest.fixture
def leveraged_markets():
return
@pytest.fixture(scope='function')
def limit_short_order_open():
return
@pytest.fixture(scope='function')
def limit_short_order(limit_short_order_open):
return
@pytest.fixture(scope='function')
def market_short_order():
return
@pytest.fixture
def market_short_exit_order():
return
@pytest.fixture
def limit_short_order_old():
return
@pytest.fixture
def limit_exit_short_order_old():
return
@pytest.fixture
def limit_short_order_old_partial():
return
@pytest.fixture
def limit_short_order_old_partial_canceled(limit_short_order_old_partial):
return
@pytest.fixture(scope='function')
def limit_short_order_canceled_empty(request):
return
@pytest.fixture
def limit_exit_short_order_open():
return
@pytest.fixture
def limit_exit_short_order(limit_sell_order_open):
return
@pytest.fixture
def short_order_fee():
return

4
tests/conftest_trades.py
View File

@ -3,7 +3,7 @@ from datetime import datetime, timedelta, timezone
from freqtrade.persistence.models import Order, Trade
MOCK_TRADE_COUNT = 6
MOCK_TRADE_COUNT = 6 # TODO-mg: Increase for short and leverage
def mock_order_1():
@ -303,3 +303,5 @@ def mock_trade_6(fee):
o = Order.parse_from_ccxt_object(mock_order_6_sell(), 'LTC/BTC', 'sell')
trade.orders.append(o)
return trade
# TODO-mg: Mock orders for leveraged and short trades

8
tests/test_persistence.py
View File

@ -129,6 +129,9 @@ def test_update_with_binance(limit_buy_order, limit_sell_order, fee, caplog):
r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001099, open_since=.*\).",
caplog)
# TODO-mg: create a short order
# TODO-mg: create a leveraged long order
@pytest.mark.usefixtures("init_persistence")
def test_update_market_order(market_buy_order, market_sell_order, fee, caplog):
@ -167,6 +170,9 @@ def test_update_market_order(market_buy_order, market_sell_order, fee, caplog):
r"pair=ETH/BTC, amount=91.99181073, open_rate=0.00004099, open_since=.*\).",
caplog)
# TODO-mg: market short
# TODO-mg: market leveraged long
@pytest.mark.usefixtures("init_persistence")
def test_calc_open_close_trade_price(limit_buy_order, limit_sell_order, fee):
@ -1303,7 +1309,7 @@ def test_Trade_object_idem():
'get_open_trades_without_assigned_fees',
'get_open_order_trades',
'get_trades',
)
)
# Parent (LocalTrade) should have the same attributes
for item in trade: