Added persistence futures tests
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Sam Germain
parent
01a9e90057
commit
bdad604fab
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@ -649,7 +649,7 @@ class LocalTrade():
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zero = Decimal(0.0)
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# If nothing was borrowed
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if self.has_no_leverage:
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if self.has_no_leverage or self.trading_mode != TradingMode.MARGIN:
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return zero
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open_date = self.open_date.replace(tzinfo=None)
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@ -186,12 +186,12 @@ def test_set_stop_loss_isolated_liq(fee):
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("binance", False, 1, 295, 0.0005, 0.0, spot),
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("binance", True, 1, 295, 0.0005, 0.003125, margin),
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# ("binance", False, 3, 10, 0.0005, 0.0, futures),
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# ("binance", True, 3, 295, 0.0005, 0.0, futures),
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# ("binance", False, 5, 295, 0.0005, 0.0, futures),
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# ("binance", True, 5, 295, 0.0005, 0.0, futures),
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# ("binance", False, 1, 295, 0.0005, 0.0, futures),
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# ("binance", True, 1, 295, 0.0005, 0.0, futures),
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("binance", False, 3, 10, 0.0005, 0.0, futures),
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("binance", True, 3, 295, 0.0005, 0.0, futures),
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("binance", False, 5, 295, 0.0005, 0.0, futures),
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("binance", True, 5, 295, 0.0005, 0.0, futures),
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("binance", False, 1, 295, 0.0005, 0.0, futures),
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("binance", True, 1, 295, 0.0005, 0.0, futures),
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("kraken", False, 3, 10, 0.0005, 0.040, margin),
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("kraken", True, 3, 10, 0.0005, 0.030, margin),
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@ -284,8 +284,6 @@ def test_interest(market_buy_order_usdt, fee, exchange, is_short, lev, minutes,
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(True, 1.0, 30.0, margin),
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(False, 3.0, 40.0, margin),
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(True, 3.0, 30.0, margin),
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# (False, 3.0, 0.0, futures),
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# (True, 3.0, 0.0, futures),
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])
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@pytest.mark.usefixtures("init_persistence")
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def test_borrowed(limit_buy_order_usdt, limit_sell_order_usdt, fee,
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@ -539,26 +537,26 @@ def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee,
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@pytest.mark.parametrize(
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'exchange,is_short,lev,open_value,close_value,profit,profit_ratio,trading_mode', [
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("binance", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232, spot),
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("binance", True, 1, 59.850, 66.1663784375, -6.316378437500013, -0.105536815998329, margin),
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("binance", False, 3, 60.15, 65.83416667, 5.684166670000003, 0.2834995845386534, margin),
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("binance", True, 3, 59.85, 66.1663784375, -6.316378437500013, -0.3166104479949876, margin),
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'exchange,is_short,lev,open_value,close_value,profit,profit_ratio,trading_mode,funding_fees', [
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("binance", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232, spot, 0.0),
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("binance", True, 1, 59.850, 66.1663784375, -6.3163784375, -0.105536815998329, margin, 0.0),
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("binance", False, 3, 60.15, 65.83416667, 5.68416667, 0.2834995845386534, margin, 0.0),
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("binance", True, 3, 59.85, 66.1663784375, -6.3163784375, -0.3166104479949876, margin, 0.0),
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("kraken", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232, spot),
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("kraken", True, 1, 59.850, 66.231165, -6.381165, -0.106619298245614, margin),
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("kraken", False, 3, 60.15, 65.795, 5.645, 0.2815461346633419, margin),
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("kraken", True, 3, 59.850, 66.231165, -6.381165000000003, -0.319857894736842, margin),
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("kraken", False, 1, 60.15, 65.835, 5.685, 0.0945137157107232, spot, 0.0),
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("kraken", True, 1, 59.850, 66.231165, -6.381165, -0.106619298245614, margin, 0.0),
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("kraken", False, 3, 60.15, 65.795, 5.645, 0.2815461346633419, margin, 0.0),
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("kraken", True, 3, 59.850, 66.231165, -6.381165000000003, -0.319857894736842, margin, 0.0),
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# TODO-lev
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# ("binance", True, 1, 59.850, 66.1663784375, -6.316378437500013, -0.105536815998329, futures),
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# ("binance", False, 3, 60.15, 65.83416667, 5.684166670000003, 0.2834995845386534, futures),
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# ("binance", True, 3, 59.850, 66.231165, -6.381165000000003, -0.319857894736842, futures),
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("binance", False, 1, 60.15, 66.835, 6.685, 0.11113881961762262, futures, 1.0),
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("binance", True, 1, 59.85, 67.165, -7.315, -0.12222222222222223, futures, -1.0),
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("binance", False, 3, 60.15, 64.835, 4.685, 0.23366583541147135, futures, -1.0),
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("binance", True, 3, 59.85, 65.165, -5.315, -0.26641604010025066, futures, 1.0),
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])
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@pytest.mark.usefixtures("init_persistence")
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def test_calc_open_close_trade_price(
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limit_buy_order_usdt, limit_sell_order_usdt, fee, exchange, is_short, lev,
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open_value, close_value, profit, profit_ratio, trading_mode
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open_value, close_value, profit, profit_ratio, trading_mode, funding_fees
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):
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trade: Trade = Trade(
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pair='ADA/USDT',
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@ -572,7 +570,8 @@ def test_calc_open_close_trade_price(
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exchange=exchange,
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is_short=is_short,
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leverage=lev,
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trading_mode=trading_mode
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trading_mode=trading_mode,
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funding_fees=funding_fees
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)
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trade.open_order_id = f'something-{is_short}-{lev}-{exchange}'
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@ -737,32 +736,35 @@ def test_calc_open_trade_value(
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@pytest.mark.parametrize(
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'exchange,is_short,lev,open_rate,close_rate,fee_rate,result,trading_mode', [
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('binance', False, 1, 2.0, 2.5, 0.0025, 74.8125, spot),
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('binance', False, 1, 2.0, 2.5, 0.003, 74.775, spot),
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('binance', False, 1, 2.0, 2.2, 0.005, 65.67, margin),
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('binance', False, 3, 2.0, 2.5, 0.0025, 74.81166667, margin),
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('binance', False, 3, 2.0, 2.5, 0.003, 74.77416667, margin),
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('kraken', False, 3, 2.0, 2.5, 0.0025, 74.7725, margin),
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('kraken', False, 3, 2.0, 2.5, 0.003, 74.735, margin),
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('kraken', True, 3, 2.2, 2.5, 0.0025, 75.2626875, margin),
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('kraken', True, 3, 2.2, 2.5, 0.003, 75.300225, margin),
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('binance', True, 3, 2.2, 2.5, 0.0025, 75.18906641, margin),
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('binance', True, 3, 2.2, 2.5, 0.003, 75.22656719, margin),
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('binance', True, 1, 2.2, 2.5, 0.0025, 75.18906641, margin),
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('binance', True, 1, 2.2, 2.5, 0.003, 75.22656719, margin),
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('kraken', True, 1, 2.2, 2.5, 0.0025, 75.2626875, margin),
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('kraken', True, 1, 2.2, 2.5, 0.003, 75.300225, margin),
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'exchange,is_short,lev,open_rate,close_rate,fee_rate,result,trading_mode,funding_fees', [
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('binance', False, 1, 2.0, 2.5, 0.0025, 74.8125, spot, 0),
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('binance', False, 1, 2.0, 2.5, 0.003, 74.775, spot, 0),
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('binance', False, 1, 2.0, 2.2, 0.005, 65.67, margin, 0),
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('binance', False, 3, 2.0, 2.5, 0.0025, 74.81166667, margin, 0),
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('binance', False, 3, 2.0, 2.5, 0.003, 74.77416667, margin, 0),
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('binance', True, 3, 2.2, 2.5, 0.0025, 75.18906641, margin, 0),
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('binance', True, 3, 2.2, 2.5, 0.003, 75.22656719, margin, 0),
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('binance', True, 1, 2.2, 2.5, 0.0025, 75.18906641, margin, 0),
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('binance', True, 1, 2.2, 2.5, 0.003, 75.22656719, margin, 0),
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# Kraken
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('kraken', False, 3, 2.0, 2.5, 0.0025, 74.7725, margin, 0),
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('kraken', False, 3, 2.0, 2.5, 0.003, 74.735, margin, 0),
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('kraken', True, 3, 2.2, 2.5, 0.0025, 75.2626875, margin, 0),
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('kraken', True, 3, 2.2, 2.5, 0.003, 75.300225, margin, 0),
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('kraken', True, 1, 2.2, 2.5, 0.0025, 75.2626875, margin, 0),
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('kraken', True, 1, 2.2, 2.5, 0.003, 75.300225, margin, 0),
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('binance', False, 1, 2.0, 2.5, 0.0025, 75.8125, futures, 1),
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('binance', False, 3, 2.0, 2.5, 0.0025, 73.8125, futures, -1),
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('binance', True, 3, 2.0, 2.5, 0.0025, 74.1875, futures, 1),
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('binance', True, 1, 2.0, 2.5, 0.0025, 76.1875, futures, -1),
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# TODO-lev
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# ('binance', False, 3, 2.0, 2.5, 0.003, 74.77416667, futures),
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# ('binance', True, 1, 2.2, 2.5, 0.003, 75.22656719, futures),
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# ('binance', True, 1, 2.2, 2.5, 0.0025, 75.2626875, futures),
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])
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@pytest.mark.usefixtures("init_persistence")
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def test_calc_close_trade_price(
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limit_buy_order_usdt, limit_sell_order_usdt, open_rate, exchange, is_short,
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lev, close_rate, fee_rate, result, trading_mode
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lev, close_rate, fee_rate, result, trading_mode, funding_fees
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):
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trade = Trade(
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pair='ADA/USDT',
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@ -776,7 +778,8 @@ def test_calc_close_trade_price(
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interest_rate=0.0005,
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is_short=is_short,
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leverage=lev,
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trading_mode=trading_mode
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trading_mode=trading_mode,
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funding_fees=funding_fees
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)
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trade.open_order_id = 'close_trade'
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assert round(trade.calc_close_trade_value(rate=close_rate, fee=fee_rate), 8) == result
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