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calc_profits should allow custom open and amount parameters

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This commit is contained in:
Matthias 2022-06-17 14:49:31 +00:00
parent 6bdf9c2a94
commit ade65fc274
2 changed files with 37 additions and 18 deletions
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42
freqtrade/persistence/trade_model.py
View File

@ -674,12 +674,12 @@ class LocalTrade():
""" """
return len([o for o in self.orders if o.ft_order_side == self.exit_side]) return len([o for o in self.orders if o.ft_order_side == self.exit_side])
def _calc_open_trade_value(self) -> float: def _calc_open_trade_value(self, amount: float, open_rate: float) -> float:
""" """
Calculate the open_rate including open_fee. Calculate the open_rate including open_fee.
:return: Price in of the open trade incl. Fees :return: Price in of the open trade incl. Fees
""" """
open_trade = Decimal(self.amount) * Decimal(self.open_rate) open_trade = Decimal(amount) * Decimal(open_rate)
fees = open_trade * Decimal(self.fee_open) fees = open_trade * Decimal(self.fee_open)
if self.is_short: if self.is_short:
return float(open_trade - fees) return float(open_trade - fees)
@ -691,7 +691,7 @@ class LocalTrade():
Recalculate open_trade_value. Recalculate open_trade_value.
Must be called whenever open_rate, fee_open is changed. Must be called whenever open_rate, fee_open is changed.
""" """
self.open_trade_value = self._calc_open_trade_value() self.open_trade_value = self._calc_open_trade_value(self.amount, self.open_rate)
def calculate_interest(self) -> Decimal: def calculate_interest(self) -> Decimal:
""" """
@ -723,7 +723,7 @@ class LocalTrade():
else: else:
return close_trade - fees return close_trade - fees
def calc_close_trade_value(self, rate: float) -> float: def calc_close_trade_value(self, rate: float, amount: float = None) -> float:
""" """
Calculate the Trade's close value including fees Calculate the Trade's close value including fees
:param rate: rate to compare with. :param rate: rate to compare with.
@ -732,7 +732,7 @@ class LocalTrade():
if rate is None and not self.close_rate: if rate is None and not self.close_rate:
return 0.0 return 0.0
amount = Decimal(self.amount) amount = Decimal(amount or self.amount)
trading_mode = self.trading_mode or TradingMode.SPOT trading_mode = self.trading_mode or TradingMode.SPOT
if trading_mode == TradingMode.SPOT: if trading_mode == TradingMode.SPOT:
@ -761,39 +761,53 @@ class LocalTrade():
raise OperationalException( raise OperationalException(
f"{self.trading_mode.value} trading is not yet available using freqtrade") f"{self.trading_mode.value} trading is not yet available using freqtrade")
def calc_profit(self, rate: float) -> float: def calc_profit(self, rate: float, amount: float = None, open_rate: float = None) -> float:
""" """
Calculate the absolute profit in stake currency between Close and Open trade Calculate the absolute profit in stake currency between Close and Open trade
:param rate: close rate to compare with. :param rate: close rate to compare with.
:param amount: Amount to use for the calculation. Falls back to trade.amount if not set.
:param open_rate: open_rate to use. Defaults to self.open_rate if not provided.
:return: profit in stake currency as float :return: profit in stake currency as float
""" """
close_trade_value = self.calc_close_trade_value(rate) close_trade_value = self.calc_close_trade_value(rate, amount)
if amount is None or open_rate is None:
open_trade_value = self.open_trade_value
else:
open_trade_value = self._calc_open_trade_value(amount, open_rate)
if self.is_short: if self.is_short:
profit = self.open_trade_value - close_trade_value profit = open_trade_value - close_trade_value
else: else:
profit = close_trade_value - self.open_trade_value profit = close_trade_value - open_trade_value
return float(f"{profit:.8f}") return float(f"{profit:.8f}")
def calc_profit_ratio(self, rate: float) -> float: def calc_profit_ratio(
self, rate: float, amount: float = None, open_rate: float = None) -> float:
""" """
Calculates the profit as ratio (including fee). Calculates the profit as ratio (including fee).
:param rate: rate to compare with. :param rate: rate to compare with.
:param amount: Amount to use for the calculation. Falls back to trade.amount if not set.
:param open_rate: open_rate to use. Defaults to self.open_rate if not provided.
:return: profit ratio as float :return: profit ratio as float
""" """
close_trade_value = self.calc_close_trade_value(rate) close_trade_value = self.calc_close_trade_value(rate, amount)
if amount is None or open_rate is None:
open_trade_value = self.open_trade_value
else:
open_trade_value = self._calc_open_trade_value(amount, open_rate)
short_close_zero = (self.is_short and close_trade_value == 0.0) short_close_zero = (self.is_short and close_trade_value == 0.0)
long_close_zero = (not self.is_short and self.open_trade_value == 0.0) long_close_zero = (not self.is_short and open_trade_value == 0.0)
leverage = self.leverage or 1.0 leverage = self.leverage or 1.0
if (short_close_zero or long_close_zero): if (short_close_zero or long_close_zero):
return 0.0 return 0.0
else: else:
if self.is_short: if self.is_short:
profit_ratio = (1 - (close_trade_value / self.open_trade_value)) * leverage profit_ratio = (1 - (close_trade_value / open_trade_value)) * leverage
else: else:
profit_ratio = ((close_trade_value / self.open_trade_value) - 1) * leverage profit_ratio = ((close_trade_value / open_trade_value) - 1) * leverage
return float(f"{profit_ratio:.8f}") return float(f"{profit_ratio:.8f}")

13
tests/test_persistence.py
View File

@ -605,7 +605,7 @@ def test_calc_open_close_trade_price(
trade.open_rate = 2.0 trade.open_rate = 2.0
trade.close_rate = 2.2 trade.close_rate = 2.2
trade.recalc_open_trade_value() trade.recalc_open_trade_value()
assert isclose(trade._calc_open_trade_value(), open_value) assert isclose(trade._calc_open_trade_value(trade.amount, trade.open_rate), open_value)
assert isclose(trade.calc_close_trade_value(trade.close_rate), close_value) assert isclose(trade.calc_close_trade_value(trade.close_rate), close_value)
assert isclose(trade.calc_profit(trade.close_rate), round(profit, 8)) assert isclose(trade.calc_profit(trade.close_rate), round(profit, 8))
assert pytest.approx(trade.calc_profit_ratio(trade.close_rate)) == profit_ratio assert pytest.approx(trade.calc_profit_ratio(trade.close_rate)) == profit_ratio
@ -763,7 +763,7 @@ def test_calc_open_trade_value(
trade.update_trade(oobj) # Buy @ 2.0 trade.update_trade(oobj) # Buy @ 2.0
# Get the open rate price with the standard fee rate # Get the open rate price with the standard fee rate
assert trade._calc_open_trade_value() == result assert trade._calc_open_trade_value(trade.amount, trade.open_rate) == result
@pytest.mark.parametrize( @pytest.mark.parametrize(
@ -1139,6 +1139,11 @@ def test_calc_profit(
assert pytest.approx(trade.calc_profit(rate=close_rate)) == round(profit, 8) assert pytest.approx(trade.calc_profit(rate=close_rate)) == round(profit, 8)
assert pytest.approx(trade.calc_profit_ratio(rate=close_rate)) == round(profit_ratio, 8) assert pytest.approx(trade.calc_profit_ratio(rate=close_rate)) == round(profit_ratio, 8)
assert pytest.approx(trade.calc_profit(close_rate, trade.amount,
trade.open_rate)) == round(profit, 8)
assert pytest.approx(trade.calc_profit_ratio(close_rate, trade.amount,
trade.open_rate)) == round(profit_ratio, 8)
def test_migrate_new(mocker, default_conf, fee, caplog): def test_migrate_new(mocker, default_conf, fee, caplog):
""" """
@ -1298,7 +1303,7 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
assert log_has("trying trades_bak2", caplog) assert log_has("trying trades_bak2", caplog)
assert log_has("Running database migration for trades - backup: trades_bak2, orders_bak0", assert log_has("Running database migration for trades - backup: trades_bak2, orders_bak0",
caplog) caplog)
assert trade.open_trade_value == trade._calc_open_trade_value() assert trade.open_trade_value == trade._calc_open_trade_value(trade.amount, trade.open_rate)
assert trade.close_profit_abs is None assert trade.close_profit_abs is None
orders = trade.orders orders = trade.orders
@ -2308,7 +2313,7 @@ def test_recalc_trade_from_orders(fee):
) )
assert fee.return_value == 0.0025 assert fee.return_value == 0.0025
assert trade._calc_open_trade_value() == o1_trade_val assert trade._calc_open_trade_value(trade.amount, trade.open_rate) == o1_trade_val
assert trade.amount == o1_amount assert trade.amount == o1_amount
assert trade.stake_amount == o1_cost assert trade.stake_amount == o1_cost
assert trade.open_rate == o1_rate assert trade.open_rate == o1_rate